COVER PAGE
COVER PAGE - shares | 3 Months Ended | |
Mar. 31, 2020 | Apr. 24, 2020 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2020 | |
Document Transition Report | false | |
Entity File Number | 1-13447 | |
Entity Registrant Name | ANNALY CAPITAL MANAGEMENT INC | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 22-3479661 | |
Entity Address, Address Line One | 1211 Avenue of the Americas | |
Entity Address, City or Town | New York, | |
Entity Address, State or Province | NY | |
Entity Address, Postal Zip Code | 10036 | |
City Area Code | 212 | |
Local Phone Number | 696-0100 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 1,430,424,398 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q1 | |
Entity Central Index Key | 0001043219 | |
Current Fiscal Year End Date | --12-31 | |
Common Stock, par value $0.01 per share | ||
Document Information [Line Items] | ||
Title of Each Class | Common Stock, par value $0.01 per share | |
Trading Symbol | NLY | |
Name of Each Exchange on Which Registered | NYSE | |
7.50% Series D Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of Each Class | 7.50% Series D Cumulative Redeemable Preferred Stock | |
Trading Symbol | NLY.D | |
Name of Each Exchange on Which Registered | NYSE | |
6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of Each Class | 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | NLY.F | |
Name of Each Exchange on Which Registered | NYSE | |
6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of Each Class | 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | NLY.G | |
Name of Each Exchange on Which Registered | NYSE | |
6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of Each Class | 6.75% Series I Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | NLY.I | |
Name of Each Exchange on Which Registered | NYSE |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | ||
Assets | ||||
Cash and cash equivalents (includes pledged assets of $989,509 and $1,648,545, respectively) (2) | [1] | $ 2,823,521 | $ 1,850,729 | [2] |
Securities (includes pledged assets of $75,801,662 and $108,809,569, respectively) (3) | [3] | 79,357,596 | 114,833,580 | [2] |
Loans, net (includes pledged assets of $3,285,295 and $3,240,583, respectively) (4) | [4] | 4,068,189 | 4,462,350 | [2] |
Mortgage servicing rights (includes pledged assets of $3,110 and $3,336, respectively) | 280,558 | 378,078 | [2] | |
Assets transferred or pledged to securitization vehicles | 7,671,662 | 7,002,460 | [2] | |
Real estate, net | 751,738 | 725,638 | [2] | |
Derivative assets | 238,776 | 113,556 | [2] | |
Receivable for unsettled trades | 1,006,853 | 4,792 | [2] | |
Principal and interest receivable | 335,170 | 449,906 | [2] | |
Goodwill and intangible assets, net | 98,293 | 92,772 | [2] | |
Other assets | 284,918 | 381,220 | [2] | |
Total assets | 96,917,274 | 130,295,081 | [2] | |
Liabilities | ||||
Repurchase agreements | 72,580,183 | 101,740,728 | [2] | |
Other secured financing | 1,805,428 | 4,455,700 | [2] | |
Debt issued by securitization vehicles | 6,364,949 | 5,622,801 | [2] | |
Mortgages payable | 484,762 | 485,005 | [2] | |
Derivative liabilities | 1,331,188 | 803,866 | [2] | |
Payable for unsettled trades | 923,552 | 463,387 | [2] | |
Interest payable | 261,304 | 476,335 | [2] | |
Dividends payable | 357,606 | 357,527 | [2] | |
Other liabilities | 100,772 | 93,388 | [2] | |
Total liabilities | 84,209,744 | 114,498,737 | [2] | |
Stockholders’ equity | ||||
Preferred stock, par value $0.01 per share, 85,150,000 authorized, 81,900,000 issued and outstanding | 1,982,026 | 1,982,026 | [2] | |
Common stock, par value $0.01 per share, 2,914,850,000 authorized, 1,430,424,398 and 1,430,106,199 issued and outstanding, respectively | 14,304 | 14,301 | [2] | |
Additional paid-in capital | 19,968,372 | 19,966,923 | [2] | |
Accumulated other comprehensive income (loss) | 3,121,371 | 2,138,191 | [2] | |
Accumulated deficit | (12,382,648) | (8,309,424) | [2] | |
Total stockholders’ equity | 12,703,425 | 15,792,017 | [2] | |
Noncontrolling interests | 4,105 | 4,327 | [2] | |
Total equity | 12,707,530 | 15,796,344 | [2] | |
Total liabilities and equity | 96,917,274 | 130,295,081 | [2] | |
Consolidated VIEs | ||||
Assets | ||||
Cash and cash equivalents (includes pledged assets of $989,509 and $1,648,545, respectively) (2) | 74,100 | 67,500 | ||
Agency Mortgage-Backed Securities | Consolidated VIEs | ||||
Assets | ||||
Securities (includes pledged assets of $75,801,662 and $108,809,569, respectively) (3) | 127,700 | 102,500 | ||
Non-Agency Mortgage-Backed Securities | Consolidated VIEs | ||||
Assets | ||||
Securities (includes pledged assets of $75,801,662 and $108,809,569, respectively) (3) | 412,000 | 468,000 | ||
Commercial Mortgage Loans | Consolidation, Eliminations | Consolidated VIEs | ||||
Assets | ||||
Securities (includes pledged assets of $75,801,662 and $108,809,569, respectively) (3) | 367,600 | 500,300 | ||
Residential Mortgage Loans | ||||
Assets | ||||
Total assets | 1,300,000 | 1,600,000 | ||
Stockholders’ equity | ||||
Loans | $ 57,800 | $ 66,700 | ||
[1] | Includes cash of consolidated Variable Interest Entities (“VIEs”) of $74.1 million and $67.5 million at March 31, 2020 and December 31, 2019 , respectively. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2019 . | |||
[3] | Excludes $127.7 million and $102.5 million at March 31, 2020 and December 31, 2019 , respectively, of Agency mortgage-backed securities, $412.0 million and $468.0 million at March 31, 2020 and December 31, 2019 , respectively, of non-Agency mortgage-backed securities and $367.6 million and $500.3 million at March 31, 2020 and December 31, 2019 | |||
[4] | Includes $57.8 million and $66.7 million of residential mortgage loans held for sale at March 31, 2020 and December 31, 2019 , respectively. |
CONSOLIDATED STATEMENTS OF FI_2
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Cash pledged as collateral | $ 989,509 | $ 1,648,545 |
Loans, pledged assets | $ 3,285,295 | $ 3,240,583 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 85,150,000 | 85,150,000 |
Preferred stock, shares issued (in shares) | 81,900,000 | 81,900,000 |
Preferred stock, shares outstanding (in shares) | 81,900,000 | 81,900,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 2,914,850,000 | 2,914,850,000 |
Common stock, shares issued (in shares) | 1,430,424,398 | 1,430,106,199 |
Common stock, shares outstanding (in shares) | 1,430,424,398 | 1,430,106,199 |
Non-Agency Mortgage-Backed Securities | ||
Pledged assets | $ 3,110 | $ 3,336 |
Agency Mortgage-Backed Securities | ||
Pledged assets | $ 75,801,662 | $ 108,809,569 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Net interest income | ||
Interest income | $ 555,026 | $ 866,186 |
Interest expense | 503,473 | 647,695 |
Net interest income | 51,553 | 218,491 |
Realized and unrealized gains (losses) | ||
Net interest component of interest rate swaps | (13,980) | 134,035 |
Realized gains (losses) on termination or maturity of interest rate swaps | (397,561) | (588,256) |
Unrealized gains (losses) on interest rate swaps | (2,827,723) | (390,556) |
Subtotal | (3,239,264) | (844,777) |
Net gains (losses) on disposal of investments and other | 206,583 | (93,916) |
Net gains (losses) on other derivatives | 206,426 | (115,159) |
Net unrealized gains (losses) on instruments measured at fair value through earnings | (730,160) | 47,629 |
Loan loss provision | (99,326) | (5,703) |
Subtotal | (416,477) | (167,149) |
Total realized and unrealized gains (losses) | (3,655,741) | (1,011,926) |
Other income (loss) | 14,926 | 30,502 |
General and administrative expenses | ||
Compensation and management fee | 40,825 | 44,833 |
Other general and administrative expenses | 36,804 | 38,904 |
Total general and administrative expenses | 77,629 | 83,737 |
Income (loss) before income taxes | (3,666,891) | (846,670) |
Income taxes | (26,702) | 2,581 |
Net income (loss) | (3,640,189) | (849,251) |
Net income (loss) attributable to noncontrolling interests | 66 | (101) |
Net income (loss) attributable to Annaly | (3,640,255) | (849,150) |
Dividends on preferred stock | 35,509 | 32,494 |
Net income (loss) available (related) to common stockholders | $ (3,675,764) | $ (881,644) |
Net income (loss) per share available (related) to common stockholders | ||
Basic (in dollars per share) | $ (2.57) | $ (0.63) |
Diluted (in dollars per share) | $ (2.57) | $ (0.63) |
Weighted average number of common shares outstanding | ||
Basic (in shares) | 1,430,994,319 | 1,398,614,205 |
Diluted (in shares) | 1,430,994,319 | 1,398,614,205 |
Net income (loss) | $ (3,640,189) | $ (849,251) |
Other comprehensive income (loss) | ||
Unrealized gains (losses) on available-for-sale securities | 1,374,796 | 1,599,398 |
Reclassification adjustment for net (gains) losses included in net income (loss) | (391,616) | 61,091 |
Other comprehensive income (loss) | 983,180 | 1,660,489 |
Comprehensive income (loss) | (2,657,009) | 811,238 |
Comprehensive income (loss) attributable to noncontrolling interests | 66 | (101) |
Comprehensive income (loss) attributable to Annaly | (2,657,075) | 811,339 |
Comprehensive income (loss) attributable to common stockholders | $ (2,692,584) | $ 778,845 |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Preferred stock | Common stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income (Loss) | Accumulated Deficit | Accumulated DeficitImpact of adopting CECL | Accumulated DeficitCECL provision, adjusted balance | Total Stockholders’ Equity | Noncontrolling Interest | |||
Beginning of period at Dec. 31, 2018 | $ 1,778,168 | $ 13,138 | $ 18,794,331 | $ (1,979,865) | $ (4,493,660) | $ 5,689 | |||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||
Stock-based award activity | 0 | 178 | |||||||||||
Issuance | 1,342 | 1,317,475 | |||||||||||
Direct purchase and dividend reinvestment | $ 892 | 1 | 891 | ||||||||||
Unrealized gains (losses) on available-for-sale securities | 1,599,398 | 1,599,398 | |||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 61,091 | 61,091 | |||||||||||
Net income (loss) attributable to Annaly | (849,150) | (849,150) | |||||||||||
Dividends declared on preferred stock | [1] | (32,494) | |||||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (434,627) | (434,627) | [1] | ||||||||||
Net income (loss) attributable to noncontrolling interests | 101 | (101) | |||||||||||
Equity contributions from (distributions to) noncontrolling interest | (361) | ||||||||||||
End of period at Mar. 31, 2019 | 15,781,444 | 1,778,168 | 14,481 | 20,112,875 | (319,376) | (5,809,931) | $ 15,776,217 | 5,227 | |||||
Beginning of period at Dec. 31, 2019 | 15,796,344 | [2] | 1,982,026 | 14,301 | 19,966,923 | 2,138,191 | (8,309,424) | $ (39,641) | $ (8,349,065) | 4,327 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||
Stock-based award activity | 3 | 1,449 | |||||||||||
Issuance | 0 | 0 | |||||||||||
Direct purchase and dividend reinvestment | 0 | 0 | 0 | ||||||||||
Unrealized gains (losses) on available-for-sale securities | 1,374,796 | 1,374,796 | |||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (391,616) | (391,616) | |||||||||||
Net income (loss) attributable to Annaly | (3,640,255) | (3,640,255) | |||||||||||
Dividends declared on preferred stock | [1] | (35,509) | |||||||||||
Dividends and dividend equivalents declared on common stock and share-based awards | (357,819) | (357,819) | [1] | ||||||||||
Net income (loss) attributable to noncontrolling interests | (66) | 66 | |||||||||||
Equity contributions from (distributions to) noncontrolling interest | (288) | ||||||||||||
End of period at Mar. 31, 2020 | $ 12,707,530 | $ 1,982,026 | $ 14,304 | $ 19,968,372 | $ 3,121,371 | $ (12,382,648) | $ 12,703,425 | $ 4,105 | |||||
[1] | See Note titled “Capital Stock” for dividends per share for each class of shares. | ||||||||||||
[2] | Derived from the audited consolidated financial statements at December 31, 2019 . |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | ||
Statement of Cash Flows [Abstract] | ||||
Net income (loss) | $ (3,640,189) | $ (849,251) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities | ||||
Amortization of premiums and discounts of investments, net | 618,800 | 246,150 | ||
Amortization of securitized debt premiums and discounts and deferred financing costs | (2,881) | (3,627) | ||
Depreciation, amortization and other noncash expenses | 7,684 | 7,072 | ||
Net (gains) losses on disposals of investments and other | (206,583) | 93,916 | ||
Net (gains) losses on investments and derivatives | 3,749,018 | 458,086 | ||
Income from unconsolidated joint ventures | (370) | 1,960 | ||
Loan loss provision | 99,326 | 5,703 | ||
Payments on purchases of loans held for sale | (54,820) | (49,070) | ||
Proceeds from sales and repayments of loans held for sale | 61,664 | 44,817 | ||
Net receipts (payments) on derivatives | (2,680,933) | (633,221) | ||
Net change in | ||||
Other assets | 105,636 | (107,040) | ||
Interest receivable | 115,341 | (29,491) | ||
Interest payable | (215,030) | (146,537) | ||
Other liabilities | 20,075 | 18,436 | ||
Net cash provided by (used in) operating activities | (2,023,262) | (942,097) | ||
Cash flows from investing activities | ||||
Payments on purchases of securities | (11,526,904) | (18,472,733) | ||
Proceeds from sales of securities | 41,132,114 | 7,863,347 | ||
Principal payments on securities | 4,900,580 | 2,386,243 | ||
Payments of purchases of loans | (1,148,574) | (664,002) | ||
Proceeds from sales of loans | 271,007 | 179,112 | ||
Principal payments on loans | 471,384 | 676,499 | ||
Investments in real estate | (1,159) | (5,950) | ||
Proceeds from sales of real estate | 0 | 6,661 | ||
Proceeds from reverse repurchase agreements | 27,150,000 | 28,107,306 | ||
Payments on reverse repurchase agreements | (27,150,000) | (27,980,715) | ||
Distributions in excess of cumulative earnings from unconsolidated joint ventures | 6,017 | 241 | ||
Net cash provided by (used in) investing activities | 34,104,465 | (7,903,991) | ||
Cash flows from financing activities | ||||
Proceeds from repurchase agreements and other secured financing | 1,126,771,986 | 1,411,469,975 | ||
Payments on repurchase agreements and other secured financing | (1,158,603,746) | (1,404,070,367) | ||
Proceeds from issuances of securitized debt | 1,394,065 | 905,265 | ||
Principal payments on securitized debt | (276,551) | (561,955) | ||
Payment of deferred financing cost | 0 | (1,781) | ||
Net proceeds from stock offerings, direct purchases and dividend reinvestments | 0 | 1,319,709 | ||
Principal payments on mortgages payable | (811) | (722) | ||
Net contributions (distributions) from (to) noncontrolling interests | (288) | (361) | ||
Dividends paid | (393,066) | (426,819) | ||
Net cash provided by (used in) financing activities | (31,108,411) | 8,632,944 | ||
Net (decrease) increase in cash and cash equivalents | 972,792 | (213,144) | ||
Cash and cash equivalents including cash pledged as collateral, beginning of period | 1,850,729 | 1,539,746 | $ 1,539,746 | |
Cash and cash equivalents including cash pledged as collateral, end of period | 2,823,521 | 1,326,602 | 1,850,729 | |
Supplemental disclosure of cash flow information | ||||
Interest received | 1,260,159 | 1,079,294 | ||
Dividends received | 2,116 | 2,116 | ||
Interest paid (excluding interest paid on interest rate swaps) | 575,973 | 633,805 | ||
Net interest paid on interest rate swaps | 171,965 | 34,663 | ||
Taxes received (paid) | 52 | (30) | ||
Noncash investing activities | ||||
Receivable for unsettled trades | 1,006,853 | 1,574,251 | 4,792 | [1] |
Payable for unsettled trades | 923,552 | 4,763,376 | 463,387 | [1] |
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment | 983,180 | 1,660,489 | ||
Noncash financing activities | ||||
Dividends declared, not yet paid | $ 357,606 | $ 434,431 | $ 357,527 | [1] |
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . |
DESCRIPTION OF BUSINESS
DESCRIPTION OF BUSINESS | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
DESCRIPTION OF BUSINESS | 1. DESCRIPTION OF BUSINESS Annaly Capital Management, Inc. (the “Company” or “Annaly”) is a Maryland corporation that commenced operations on February 18, 1997. The Company is a leading diversified capital manager that invests in and finances residential and commercial assets. The Company owns a portfolio of real estate related investments, including mortgage pass-through certificates, collateralized mortgage obligations, credit risk transfer (“CRT”) securities, other securities representing interests in or obligations backed by pools of mortgage loans, residential mortgage loans, mortgage servicing rights (“MSRs”), commercial real estate assets and corporate debt. The Company’s principal business objective is to generate net income for distribution to its stockholders and optimize its returns through prudent management of its diversified investment strategies. Until the closing of the Internalization (as defined in Note 19), the Company will continue to be externally managed by Annaly Management Company LLC (the “Manager”). The Company’s four investment groups are primarily comprised of the following: Investment Groups Description Annaly Agency Group Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Annaly Residential Credit Group Invests primarily in non-Agency residential mortgage assets within securitized products and residential mortgage loan markets. Annaly Commercial Real Estate Group Originates and invests in commercial mortgage loans, securities, and other commercial real estate debt and equity investments. Annaly Middle Market Lending Group Provides debt financing to private equity-backed middle market businesses across the capital structure. The Company has elected to be taxed as a Real Estate Investment Trust (“REIT”) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”). |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
BASIS OF PRESENTATION | 2. BASIS OF PRESENTATION The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent Annual Report on Form 10-K for the fiscal year ended December 31, 2019 (the “ 2019 Form 10-K”). The consolidated financial information as of December 31, 2019 has been derived from audited consolidated financial statements included in the Company’s 2019 Form 10-K. The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported balance sheet amounts and/or disclosures at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates. In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. Interim period operating results may not be indicative of the operating results for a full year. |
SIGNIFICANT ACCOUNTING POLICIES
SIGNIFICANT ACCOUNTING POLICIES | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
SIGNIFICANT ACCOUNTING POLICIES | 3. SIGNIFICANT ACCOUNTING POLICIES The Company’s significant accounting policies are described below or are included elsewhere in these notes to the Consolidated Financial Statements. Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation. Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE. Variable Interest Entities – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion to change. Refer to the “Variable Interest Entities” Note for further information. Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in real estate, net and Other assets with income or loss included in Other income (loss). Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company’s interest rate swaps and other derivatives totaled $1.0 billion and $1.6 billion at March 31, 2020 and December 31, 2019 , respectively. Equity Securities – The Company may invest in equity securities that are not accounted for under the equity method or do not result in consolidation. These equity securities are required to be reported at fair value with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net unrealized gains (losses) on instruments measured at fair value through earnings, unless the securities do not have readily determinable fair values. For such equity securities without readily determinable fair values, the Company has elected to carry the securities at cost less impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for the identical or similar investment of the same issuer. For equity securities carried at fair value through earnings, dividends are recorded in earnings on the declaration date. Dividends from equity securities without readily determinable fair values are recognized as income when received to the extent they are distributed from net accumulated earnings. Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the fair value option in order to simplify the accounting treatment for certain financial instruments. Items for which the fair value option has been elected are presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the fair value option see the table in the “Financial Instruments” Note. Refer to the “Fair Value Measurements” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments. Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they are subject to netting agreements and they meet the offsetting criteria. Please see below and refer to the “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements. Derivative Instruments – Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Refer to the “Derivative Instruments” Note for further discussion. Stock-Based Compensation – The Company measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company’s common stock. Compensation expense is recognized ratably over the vesting or requisite service period of the award. Compensation expense for awards with performance conditions is recognized based on the probable outcome of the performance condition at each reporting date. Stock-based awards that do not require future service (i.e., vested awards) are expensed immediately. Forfeitures are recorded when they occur. The Company generally issues new shares of common stock upon delivery of stock-based awards. Interest Income - The Company recognizes interest income primarily on Residential securities, residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not paid is recognized as Interest receivable on the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item on the Consolidated Statements of Comprehensive Income. Refer to the “Interest Income and Interest Expense” note for further discussion. For its securities, the Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the financial instruments and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities, multifamily and reverse mortgages), taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date, which results in a cumulative premium amortization adjustment in each period. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period. Premiums or discounts associated with the purchase of Agency interest-only securities, reverse mortgages and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis. Premiums and discounts associated with the purchase of residential mortgage loans and with those transferred or pledged to securitization trusts are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss). If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower. See the Note “Interest Income and Interest Expense” for further discussion on interest. If interest receivable is deemed to be uncollectible or not collected within 90 days of its contractual due date for commercial loans or 120 days for corporate debt carried at amortized cost, it is written off through a reversal of interest income. Any interest written off that is recovered is recognized as interest income. Refer to the “Interest Income and Interest Expense” Note for further discussion of interest income. Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes. Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 2016-13 Financial instruments - Credit losses (Topic 326): Measurement of credit losses on financial instruments (“ASU 2016-13”) This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect cash and cash equivalents, reverse repurchase agreements, certain loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 The Company adopted ASU 2016-13 using the modified retrospective method for all financial assets and off-balance-sheet credit exposures in scope. The modified retrospective approach requires an adjustment to beginning retained earnings for the cumulative effect of adopting the standard. Results for reporting periods beginning after January 1, 2020 are presented in accordance with ASU 2016-13, while prior periods continue to be reported in accordance with previously applicable GAAP. As a result of the adoption, the Company recorded an increase to the loan loss allowance of $37.4 million and a liability of $2.2 million for unfunded loan commitments, which reduced beginning retained earnings by $39.6 million as of January 1, 2020. |
FINANCIAL INSTRUMENTS
FINANCIAL INSTRUMENTS | 3 Months Ended |
Mar. 31, 2020 | |
Investments, All Other Investments [Abstract] | |
FINANCIAL INSTRUMENTS | 4. FINANCIAL INSTRUMENTS The following table presents characteristics for certain of the Company’s financial instruments at March 31, 2020 and December 31, 2019 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis March 31, 2020 December 31, 2019 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 77,869,157 $ 112,124,958 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 587,689 768,409 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 222,871 531,322 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 585,954 1,135,868 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 50,745 64,655 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 41,180 208,368 Total securities 79,357,596 114,833,580 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,268,083 1,647,787 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 649,843 669,713 Loans, net Corporate debt held for investment, net Amortized cost 2,150,263 2,144,850 Total loans, net 4,068,189 4,462,350 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 1,803,608 1,122,588 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 3,027,188 2,598,374 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 1,927,575 2,345,120 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Amortized cost 913,291 936,378 Total assets transferred or pledged to securitization vehicles 7,671,662 7,002,460 Liabilities Repurchase agreements Repurchase agreements Amortized cost 72,580,183 101,740,728 Other secured financing Loans Amortized cost 1,805,428 4,455,700 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 6,364,949 5,622,801 Mortgages payable Loans Amortized cost 484,762 485,005 (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. (3) Includes interest-only securities and reverse mortgages. (4) Includes conduit and credit CMBS. |
SECURITIES
SECURITIES | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
SECURITIES | 5. SECURITIES The Company’s investments in securities include agency, credit risk transfer, non-agency and commercial mortgage-backed securities. All of the debt securities are classified as available-for-sale. Available-for-sale debt securities are carried at fair value, with changes in fair value recognized in other comprehensive income, unless the fair value option is elected in which case changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Transactions for securities are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on disposals of securities are recorded on trade date based on the specific identification method. Impairment – Management evaluates available-for-sale securities and held-to-maturity debt securities for impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss) as a Securities Loss Provision and reflected as an Allowance for Credit Losses on Securities on the Consolidated Statements of Financial Condition, while the balance of losses related to other factors will be recognized as a component of Other comprehensive income (loss). There was no impairment recognized for the three months ended March 31, 2020 and 2019 . Agency Mortgage-Backed Securities - The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other MBS representing interests in or obligations backed by pools of residential or multifamily mortgage loans and certificates. Many of the underlying loans and certificates are guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). TBA securities without intent to accept delivery (“TBA derivatives”), are accounted for as derivatives as discussed in the “Derivative Instruments” Note. CRT Securities - CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae and Freddie Mac to private investors. Non-Agency Mortgage-Backed Securities - The Company invests in non-Agency mortgage-backed securities such as those issued in prime loan, Alt-A loan, subprime loan, non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations. Agency mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities are referred to herein as “Residential Securities.” Although the Company generally intends to hold most of its Residential Securities until maturity, it may, from time to time, sell any of its Residential Securities as part of the overall management of its portfolio. Commercial Mortgage-Backed Securities (“Commercial Securities”) - Certain commercial mortgage-backed securities are classified as available-for-sale and reported at fair value with any credit loss recognized through an allowance for credit losses and any other unrealized gains and losses reported as a component of Other comprehensive income (loss). Management evaluates its Commercial Securities for impairment at least quarterly. The Company elected the fair value option for all other Commercial Securities, including conduit and credit commercial mortgage-backed securities, to simplify the accounting where the unrealized gains and losses on these financial instruments are recorded through earnings. The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the three months ended March 31, 2020 : Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2020 $ 114,560,557 $ 273,023 $ 114,833,580 Purchases 11,925,383 — 11,925,383 Sales and transfers (1) (42,179,748 ) (153,709 ) (42,333,457 ) Principal paydowns (4,885,921 ) (4,933 ) (4,890,854 ) (Amortization) / accretion (616,974 ) 127 (616,847 ) Fair value adjustment 462,374 (22,583 ) 439,791 Ending balance March 31, 2020 $ 79,265,671 $ 91,925 $ 79,357,596 (1) Includes transfers to securitization vehicles. The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that was carried at their fair value at March 31, 2020 and December 31, 2019 : March 31, 2020 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 69,788,774 $ 3,167,897 $ (27,245 ) $ 72,929,426 $ 2,798,718 $ (234 ) $ 75,727,910 Adjustable-rate pass-through 609,737 9,043 (2,404 ) 616,376 16,817 (1,757 ) 631,436 CMO 153,405 2,436 — 155,841 4,749 — 160,590 Interest-only 3,593,033 684,208 — 684,208 3,170 (157,742 ) 529,636 Multifamily 1,266,927 17,490 (1,133 ) 1,283,284 67,345 (1,408 ) 1,349,221 Reverse mortgages 53,739 4,828 — 58,567 18 (532 ) 58,053 Total agency securities $ 75,465,615 $ 3,885,902 $ (30,782 ) $ 75,727,702 $ 2,890,817 $ (161,673 ) $ 78,456,846 Residential credit CRT (1) $ 470,229 $ 10,811 $ (1,325 ) $ 464,790 $ — $ (241,919 ) $ 222,871 Alt-A 108,312 52 (20,861 ) 87,503 723 (11,966 ) 76,260 Prime 230,056 4,451 (15,780 ) 218,727 3,008 (13,099 ) 208,636 Prime interest-only 332,185 3,387 — 3,387 — (1,114 ) 2,273 Subprime 160,887 100 (25,138 ) 135,849 1,125 (7,931 ) 129,043 NPL/RPL 132,603 321 (352 ) 132,572 — (26,489 ) 106,083 Prime jumbo (>=2010 vintage) 65,787 — (4,200 ) 61,587 532 (3,454 ) 58,665 Prime jumbo (>=2010 vintage) Interest-only 512,838 8,563 — 8,563 — (3,569 ) 4,994 Total residential credit securities $ 2,012,897 $ 27,685 $ (67,656 ) $ 1,112,978 $ 5,388 $ (309,541 ) $ 808,825 Total Residential Securities $ 77,478,512 $ 3,913,587 $ (98,438 ) $ 76,840,680 $ 2,896,205 $ (471,214 ) $ 79,265,671 Commercial Commercial Securities $ 114,552 $ 280 $ (7,902 ) $ 106,930 $ — $ (15,005 ) $ 91,925 Total securities $ 77,593,064 $ 3,913,867 $ (106,340 ) $ 76,947,610 $ 2,896,205 $ (486,219 ) $ 79,357,596 December 31, 2019 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 102,448,565 $ 4,345,053 $ (46,614 ) $ 106,747,004 $ 2,071,583 $ (95,173 ) $ 108,723,414 Adjustable-rate pass-through 1,474,818 72,245 (1,400 ) 1,545,663 10,184 (31,516 ) 1,524,331 CMO 156,937 2,534 — 159,471 545 — 160,016 Interest-only 4,486,845 862,905 — 862,905 2,787 (157,130 ) 708,562 Multifamily 1,619,900 19,981 (2,280 ) 1,637,601 82,292 (2,696 ) 1,717,197 Reverse mortgages 54,553 5,053 — 59,606 550 (309 ) 59,847 Total agency investments $ 110,241,618 $ 5,307,771 $ (50,294 ) $ 111,012,250 $ 2,167,941 $ (286,824 ) $ 112,893,367 Residential credit CRT (1) $ 517,110 $ 15,850 $ (2,085 ) $ 515,950 $ 16,605 $ (1,233 ) $ 531,322 Alt-A 160,957 250 (22,306 ) 138,901 12,482 — 151,383 Prime 277,076 3,362 (17,794 ) 262,644 14,142 (529 ) 276,257 Prime interest-only 391,234 3,757 — 3,757 — (590 ) 3,167 Subprime 370,263 1,356 (59,727 ) 311,892 37,205 (118 ) 348,979 NPL/RPL 164,180 351 (440 ) 164,091 191 (14 ) 164,268 Prime jumbo (>=2010 vintage) 182,709 1,026 (4,281 ) 179,454 5,360 (150 ) 184,664 Prime jumbo (>=2010 vintage) Interest-only 554,189 9,001 — 9,001 — (1,851 ) 7,150 Total residential credit securities $ 2,617,718 $ 34,953 $ (106,633 ) $ 1,585,690 $ 85,985 $ (4,485 ) $ 1,667,190 Total Residential Securities $ 112,859,336 $ 5,342,724 $ (156,927 ) $ 112,597,940 $ 2,253,926 $ (291,309 ) $ 114,560,557 Commercial Commercial Securities $ 263,965 $ 10,873 $ (9,393 ) $ 265,445 $ 7,710 $ (132 ) $ 273,023 Total securities $ 113,123,301 $ 5,353,597 $ (166,320 ) $ 112,863,385 $ 2,261,636 $ (291,441 ) $ 114,833,580 (1) Principal/Notional amount includes $14.9 million of a CRT interest-only security as of March 31, 2020 and December 31, 2019 . The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 Investment Type (dollars in thousands) Fannie Mae $ 53,793,047 $ 76,656,831 Freddie Mac 24,524,333 36,087,100 Ginnie Mae 139,466 149,436 Total $ 78,456,846 $ 112,893,367 Actual maturities of the Company’s Residential Securities are generally shorter than stated contractual maturities because actual maturities of the portfolio are affected by periodic payments and prepayments of principal on the underlying mortgages. The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at March 31, 2020 and December 31, 2019 , according to their estimated weighted average life classifications: March 31, 2020 December 31, 2019 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 11,969 $ 12,185 $ 3,997 $ 4,543 Greater than one year through five years 58,521,294 56,615,526 36,290,254 35,581,833 Greater than five years through ten years 20,265,852 19,706,235 77,732,756 76,504,845 Greater than ten years 466,556 506,734 533,550 506,719 Total $ 79,265,671 $ 76,840,680 $ 114,560,557 $ 112,597,940 The estimated weighted average lives of the Residential Securities at March 31, 2020 and December 31, 2019 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Residential Securities could be longer or shorter than projected. The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) (dollars in thousands) Less than 12 months $ 167,223 $ (1,666 ) 12 $ 7,388,239 $ (24,056 ) 139 12 Months or more 122,974 (1,733 ) 10 11,619,280 (105,329 ) 352 Total $ 290,197 $ (3,399 ) 22 $ 19,007,519 $ (129,385 ) 491 (1) Excludes interest-only mortgage-backed securities and reverse mortgages. The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities are “AAA” rated or carry an implied “AAA” rating. The investments are not considered to be impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that the Company will be required to sell the investments before recovery of the amortized cost bases, which may be maturity. During the three months ended March 31, 2020 and 2019 , the Company disposed of $41.9 billion and $10.5 billion of Residential Securities. The following table presents the Company’s net gains (losses) from the disposal of Residential Securities for the three months ended March 31, 2020 and 2019. March 31, 2020 December 31, 2019 Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) (dollars in thousands) Residential Securities $ 539,255 $ (271,998 ) $ 267,257 $ 2,526 $ (95,040 ) $ (92,514 ) |
LOANS
LOANS | 3 Months Ended |
Mar. 31, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
LOANS | 6. LOANS The Company invests in residential, commercial and corporate loans. Loans are classified as either held for investment or held for sale. Loans are also eligible to be accounted for under the fair value option. Excluding loans transferred or pledged to securitization vehicles, as of March 31, 2020 and December 31, 2019 , the Company reported $1.3 billion and $1.6 billion , respectively, of loans for which the fair value option was elected. If loans are held for investment and the fair value option has not been elected, they are accounted for at amortized cost less impairment. If the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, the loans are classified as held for sale. If loans are held for sale and the fair value option was not elected, they are accounted for at the lower of cost or fair value. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of loans held for sale on an individual loan basis. Allowance for Losses – The Company evaluates the need for a loss reserve on each of its loans classified as held-for-investment where the fair value option is not elected. Allowance for loan losses are written off in the period the loans are deemed uncollectible. Given the unique nature of each underlying borrower and any collateral, the Company assesses an allowance for each individual loan held-for-investment. A provision is established at origination or acquisition that reflects management’s estimate of the total expected credit loss over the expected life of the loan. In estimating the lifetime expected credit losses, management utilizes a probability of default and loss given default methodology (“Loss given default methodology”), which considers projected economic conditions over the reasonable and supportable forecast period. The forecast incorporates primarily market-based assumptions including, but not limited to, forward interest rate curves, unemployment rate estimates and certain indexes sourced from third party vendors. For any remaining period of the expected life of the loan after the reasonable and supportable period, the Company reverts to historical losses on a straight-line basis. Management uses third-party vendors’ loan pool data for loans with similar risk characteristics to estimate historical losses given the limited loss history of the Company’s loan portfolio. Changes in the lifetime expected credit loss are reflected in Loan loss provision in the Consolidated Statements of Comprehensive Income (Loss). For loans experiencing credit deterioration, the Company may use a different methodology to determine the expected credit losses such as a discounted cash flow analysis. For collateral-dependent loans, if foreclosure is probable, expected credit losses are based on the fair value of the collateral at the reporting date, adjusted for any selling costs, if applicable. Additionally, the Company may elect the practical expedient for a financial asset for which the repayment is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty by measuring the allowance as the difference between the fair value of the collateral, less costs to sell, if applicable, and the amortized cost basis of the financial asset at the reporting date. The Company’s commercial loans are collateralized by commercial real estate including, but not limited to, multifamily real estate, office and retail space, hotels and industrial space. At origination, the fair value of the collateral generally exceeds the principal loan balance. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the loans as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages, if applicable, and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics at origination or acquisition of a new investment and if events occur that trigger re-evaluation by management. The Company recorded loan loss provisions of $99.3 million and $5.7 million for the three months ended March 31, 2020 and March 31, 2019 , respectively. As of March 31, 2020 and December 31, 2019 , the Company’s loan loss provision was $137.9 million million and $20.1 million , respectively. The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles, for the three months ended March 31, 2020 : Residential Commercial Corporate Debt Total (dollars in thousands) Beginning balance January 1, 2020 $ 1,647,787 $ 669,713 $ 2,144,850 $ 4,462,350 Impact of adopting CECL — (3,600 ) (29,653 ) (33,253 ) Purchases / originations 642,795 173,517 387,082 1,203,394 Sales and transfers (1) (922,773 ) (95,730 ) (275,845 ) (1,294,348 ) Principal payments (41,732 ) (38,425 ) (54,465 ) (134,622 ) Gains / (losses) (2) (56,082 ) (56,475 ) (24,026 ) (136,583 ) (Amortization) / accretion (1,912 ) 843 2,320 1,251 Ending balance March 31, 2020 $ 1,268,083 $ 649,843 $ 2,150,263 $ 4,068,189 (1) Includes securitizations, syndications and transfers to securitization vehicles. (2) Includes loan loss allowances. The carrying value of the Company’s residential loans held for sale was $57.8 million and $66.7 million at March 31, 2020 and December 31, 2019 , respectively. There were no commercial loans held for sale at March 31, 2020 and December 31, 2019 . The Company also has off-balance-sheet credit exposures related to unfunded loan commitments, including revolvers, delayed draw term loans and future funding commitments that are not unconditionally cancelable by the Company. The Company utilizes the same methodology in calculating the liability related to the expected credit losses on these exposures as it does for the calculation of the allowance for loan losses. In determining the estimate of credit losses for off-balance-sheet credit exposures, the Company will consider the contractual period in which the entity is exposed to credit risk and the likelihood that funding will occur, if material. Residential The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. The Company’s residential loans are accounted for under the fair value option with changes in fair value reflected in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Statements of Comprehensive Income. Additionally, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo residential mortgage loans. The Company also consolidates securitization trusts in which it had purchased subordinated securities because it also has certain powers and rights to direct the activities of such trusts. Refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated residential mortgage loan trusts. The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 (dollars in thousands) Fair value $ 4,295,271 $ 4,246,161 Unpaid principal balance $ 4,372,834 $ 4,133,149 The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three months ended March 31, 2020 and 2019 for these investments: For the Three Months Ended March 31, 2020 March 31, 2019 (dollars in thousands) Interest income $ 47,557 $ 29,991 Net gains (losses) on disposal of investments and other (12,000 ) (5,223 ) Net unrealized gains (losses) on instruments measured at fair value through earnings (192,763 ) 17,821 Total included in net income (loss) $ (157,206 ) $ 42,589 The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2020 and December 31, 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans March 31, 2020 December 31, 2019 Property location % of Balance Property location % of Balance California 51.5% California 52.1% New York 10.9% New York 10.5% Florida 5.3% Florida 5.3% All other (none individually greater than 5%) 32.3% All other (none individually greater than 5%) 32.1% Total 100.0% 100.0% The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $0 - $3,448 $451 $1 - $3,448 $459 Interest rate 2.00% - 8.75% 4.89% 2.00% - 8.38% 4.94% Maturity 1/1/2028 - 2/1/2060 4/12/2048 1/1/2028 - 12/1/2059 12/29/2047 FICO score at loan origination 505 - 829 759 505 - 829 758 Loan-to-value ratio at loan origination 8% - 105% 67% 8% - 105% 67% At March 31, 2020 and December 31, 2019 , approximately 33% and 36% , respectively, of the carrying value of the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, were adjustable-rate. Commercial The Company’s commercial real estate loans are comprised of adjustable-rate and fixed-rate loans. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Commercial real estate loans and preferred equity interests that are designated as held for investment and are originated or purchased by the Company are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less an allowance for losses, if necessary. Origination fees and costs, premiums or discounts are amortized into interest income over the life of the loan. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s commercial real estate loans and preferred equity interests (“CRE Debt and Preferred Equity Investments”), and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance their respective assets at the maturity of each loan, economic trends (both macro and those affecting the property specifically), and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations. The Company’s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company’s internal risk rating rubric for commercial loans has nine categories as depicted below: Risk Rating - Commercial Loans Description 1-4 / Performing Meets all present contractual obligations. 5 / Performing - Closely Monitored Meets all present contractual obligations, but are transitional or could be exhibiting some weaknesses in both leverage and liquidity. 6 / Performing - Special Mention Meets all present contractual obligations, but exhibit potential weakness that deserves management’s close attention and, if uncorrected, may result in deterioration of repayment prospects. 7 / Substandard Inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. 8 / Doubtful Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. 9 / Loss Considered uncollectible. Management assesses each loan at least quarterly and assigns an internal risk rating based on its evaluation of the most recent financial information produced by the borrower and consideration of economic conditions. See below for a tabular disclosure of the amortized cost basis of the Company’s commercial loans by year of origination and internal risk rating. For the three months ended March 31, 2020, the Company recorded a loan loss provision on impaired collateral dependent commercial loans of $52.1 million with a principal balance and carrying value of $106.2 million and $48.3 million , respectively, based upon the fair value of the underlying collateral. For the three months ended March 31, 2019, the Company recorded a loan loss provision of $5.7 million on commercial loans with a principal balance and carrying value of $36.6 million and $30.9 million , respectively. As a result of the implementation of the Loss given default methodology under the modified retrospective method, a cumulative effect loan loss allowance of $7.8 million was recorded on January 1, 2020. For the three months ended March 31, 2020, the Company recorded a loan loss allowance of $23.2 million based upon its Loss given default methodology. At March 31, 2020 and December 31, 2019 , the Company had unfunded commercial real estate loan commitments of $140.9 million and $181.4 million , respectively. At March 31, 2020 and December 31, 2019 , approximately 94% and 92% , respectively, of the carrying value of the Company’s CRE Debt and Preferred Equity Investments, including loans transferred or pledged to securitization vehicles and excluding commercial loans held for sale, were adjustable-rate. The sector attributes of the Company’s commercial real estate investments held for investment at March 31, 2020 and December 31, 2019 were as follows: Sector Dispersion March 31, 2020 December 31, 2019 Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio (dollars in thousands) Office $ 673,947 43.1 % $ 681,129 42.4 % Retail 348,045 22.3 % 389,076 24.2 % Multifamily 283,698 18.1 % 262,302 16.3 % Hotel 125,870 8.1 % 135,681 8.4 % Industrial 79,882 5.1 % 82,441 5.1 % Other 32,534 2.1 % 36,589 2.3 % Healthcare 19,158 1.2 % 18,873 1.3 % Total $ 1,563,134 100.0 % $ 1,606,091 100.0 % At March 31, 2020 and December 31, 2019 , commercial real estate investments held for investment were comprised of the following: March 31, 2020 December 31, 2019 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 532,125 $ 519,387 32.1 % $ 503,499 $ 499,690 30.9 % Senior securitized mortgages (3) 940,245 913,291 56.6 % 940,546 936,378 57.8 % Mezzanine loans 187,693 130,456 11.3 % 183,064 170,023 11.3 % Total $ 1,660,063 $ 1,563,134 100.0 % $ 1,627,109 $ 1,606,091 100.0 % (1) Carrying value includes unamortized origination fees of $8.2 million and $8.3 million at March 31, 2020 and December 31, 2019 , respectively. (2) Based on outstanding principal. (3) Represents assets of consolidated VIEs. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at March 31, 2020 and December 31, 2019 : March 31, 2020 Senior Senior (1) Mezzanine Total (dollars in thousands) Beginning balance (January 1, 2020) (2) $ 499,690 $ 936,378 $ 182,726 $ 1,618,794 Originations & advances (principal) 162,781 — 11,628 174,409 Principal payments (38,425 ) (53,533 ) — (91,958 ) Principal write off — — (7,000 ) (7,000 ) Transfers (95,730 ) 52,630 — (43,100 ) Net (increase) decrease in origination fees (812 ) — (80 ) (892 ) Realized gain 204 — — 204 Amortization of net origination fees 797 602 46 1,445 Allowance for loan losses Beginning allowance, prior to CECL adoption — — (12,703 ) (12,703 ) Impact of adopting CECL (2,264 ) (4,166 ) (1,336 ) (7,766 ) Current period allowance (6,854 ) (18,620 ) (49,825 ) (75,299 ) Write offs — — 7,000 7,000 Ending allowance (9,118 ) (22,786 ) (56,864 ) (88,768 ) Net carrying value (March 31, 2020) $ 519,387 $ 913,291 $ 130,456 $ 1,563,134 December 31, 2019 Senior Senior (1) Mezzanine Total (dollars in thousands) Net carrying value (January 1, 2019) $ 981,202 $ — $ 315,601 $ 1,296,803 Originations & advances (principal) 572,204 — 21,709 593,913 Principal payments (16,785 ) (150,245 ) (149,633 ) (316,663 ) Transfers (1,034,754 ) 1,083,487 (8,675 ) 40,058 Net (increase) decrease in origination fees (4,200 ) — (184 ) (4,384 ) Amortization of net origination fees 2,023 3,136 412 5,571 Net (increase) decrease in allowance — — (9,207 ) (9,207 ) Net carrying value (December 31, 2019) $ 499,690 $ 936,378 $ 170,023 $ 1,606,091 (1) Represents assets of consolidated VIEs. (2) Excludes loan loss allowances. The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of March 31, 2020 . Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2020 2019 2018 2017 2016 Prior (dollars in thousands) 1-4 / Performing $ 446,226 $ 89,647 $ 159,384 $ 103,547 $ 12,444 $ — $ 81,204 5 / Performing - Closely Monitored 501,717 31,657 265,728 29,432 105,893 69,007 — 6 / Performing - Special Mention 431,515 27,110 122,133 212,015 — — 70,257 7 / Substandard 85,390 — — 30,390 55,000 — — 8 / Doubtful 98,286 — — 33,460 64,826 — — 9 / Loss (2) — — — — — — — Total $ 1,563,134 $ 148,414 $ 547,245 $ 408,844 $ 238,163 $ 69,007 $ 151,461 (1) The amortized cost basis excludes accrued interest. As of March 31, 2020, the Company had $4.6 million of accrued interest receivable on commercial loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition. (2) Includes one commercial mezzanine loan for which the Company recorded a full loan loss allowance of $36.6 million . Corporate Debt The Company’s investments in corporate loans typically take the form of senior secured loans primarily in first or second lien positions. The Company’s senior secured loans generally have stated maturities of five to seven years . In connection with these senior secured loans the Company receives a security interest in certain assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to less credit risk than more junior loans given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the effective interest method. The Company’s internal risk rating rubric for corporate debt has nine categories as depicted below: Risk Rating - Corporate Debt Description 1-5 / Performing Meets all present contractual obligations. 6 / Performing - Closely Monitored Meets all present contractual obligations but exhibits a defined weakness in either leverage or liquidity, but not both. Loans at this rating will require closer monitoring, but where we expect no loss of interest or principal. 7 / Substandard A loan that has a defined weakness in either leverage and/or liquidity, and which may require substantial changes to strengthen the asset. Loans at this rating level have a higher probability of loss, although no determination of the amount or timing of a loss is yet possible. 8 / Doubtful A loan that has missed a scheduled principal or interest payment or is otherwise deemed a non-earning account. The probability of loss is increasingly certain due to significant performance issues. 9 / Loss Considered uncollectible. Management assesses each loan at least quarterly and assigns an internal risk rating based on its evaluation of the most recent financial information produced by the borrower and consideration of economic conditions. See below for a tabular disclosure of the amortized cost basis of the Company’s corporate debt held for investment by year of origination and internal risk rating. For the three months ended March 31, 2020, the Company recorded a loan loss provision of $10.0 million on impaired corporate loans using a discounted cash flow methodology with a beginning principal balance and carrying value of $29.3 million and $21.9 million , respectively. During the three months ended March 31, 2020, a loan was restructured and the Company received $2.8 million of second lien debt and $4.8 million of equity. As a result of the restructuring, $19.6 million of first lien debt was written off and the related allowance of $11.9 million was charged off. There was no provision for loan loss recorded on corporate loans for the three months ended March 31, 2019. As a result of the implementation of the Loss given default methodology under the modified retrospective method, a cumulative effect loan loss allowance on corporate loans of $29.7 million was recorded on January 1, 2020. For the three months ended March 31, 2020, the Company recorded a loan loss allowance on corporate loans of $14.1 million based upon its Loss given default methodology. At March 31, 2020 and December 31, 2019 , the Company had unfunded corporate loan commitments of $79.5 million and $81.2 million , respectively. The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at March 31, 2020 and December 31, 2019 are as follows: Industry Dispersion March 31, 2020 December 31, 2019 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Computer Programming, Data Processing & Other Computer Related Services — 391,559 391,559 — 394,193 394,193 Management & Public Relations Services — 288,586 288,586 — 339,179 339,179 Chemical & Chemical Preparations — 145,446 145,446 — — — Miscellaneous Business Services — 122,275 122,275 — 164,033 164,033 Public Warehousing & Storage — 119,577 119,577 — 107,029 107,029 Engineering, Architectural, and Surveying — 113,496 113,496 — 124,201 124,201 Metal Cans & Shipping Containers — 108,266 108,266 — 118,456 118,456 Offices & Clinics of Doctors of Medicine — 104,919 104,919 — 106,993 106,993 Surgical, Medical & Dental Instruments & Supplies — 100,791 100,791 — 102,182 102,182 Insurance Agents, Brokers and Service — 74,013 74,013 — 75,410 75,410 Telephone Communications — 57,508 57,508 — 61,210 61,210 Miscellaneous Health & Allied Services, not elsewhere classified — 50,327 50,327 — 78,908 78,908 Miscellaneous Equipment Rental & Leasing — 49,423 49,423 — 49,776 49,776 Electric Work — 44,442 44,442 — 43,175 43,175 Medical & Dental Laboratories — 35,465 35,465 — 41,344 41,344 Nonferrous Foundries (Castings) — 31,903 31,903 — 30,191 30,191 Research, Development & Testing Services — 29,796 29,796 — 45,610 45,610 Coating, Engraving and Allied Services — 29,323 29,323 — 47,249 47,249 Home Health Care Services — 28,537 28,537 — 29,361 29,361 Motor Vehicles and Motor Vehicle Parts & Supplies — 28,464 28,464 — 28,815 28,815 Legal Services — 28,079 28,079 — — — Petroleum and Petroleum Products — 24,834 24,834 — 24,923 24,923 Electronic Components & Accessories — 23,266 23,266 — 24,000 24,000 Grocery Stores — 22,987 22,987 — 23,248 23,248 Schools & Educational Services, not elsewhere classified — 19,376 19,376 — 19,586 19,586 Drugs — 15,881 15,881 — 15,923 15,923 Chemicals & Allied Products — 14,868 14,868 — 15,002 15,002 Mailing, Reproduction, Commercial Art and Photography, and Stenographic — 14,528 14,528 — 14,755 14,755 Transportation, Equipment & Supplies (Except Motor Vehicles) — 12,468 12,468 — — — Offices and Clinics of Other Health Practitioners — 10,110 10,110 — 10,098 10,098 Miscellaneous Plastic Products — 9,750 9,750 — 10,000 10,000 Total $ — $ 2,150,263 $ 2,150,263 $ — $ 2,144,850 $ 2,144,850 The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 (dollars in thousands) First lien loans $ 1,496,887 $ 1,396,140 Second lien loans 653,376 748,710 Total $ 2,150,263 $ 2,144,850 The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at March 31, 2020 and December 31, 2019: March 31, 2020 First Lien Second Lien Total (dollars in thousands) Beginning balance (January 1, 2020) (1) $ 1,403,503 $ 748,710 $ 2,152,213 Originations & advances 387,082 — 387,082 Principal payments (28,567 ) (25,898 ) (54,465 ) Amortization & accretion of (premium) discounts 1,430 890 2,320 Loan restructuring (19,550 ) 2,818 (16,732 ) Sales (223,625 ) (47,382 ) (271,007 ) Allowance for loan losses — Beginning allowance, prior to CECL adoption (7,363 ) — (7,363 ) Impact of adopting CECL (10,787 ) (18,866 ) (29,653 ) Current period allowance (17,130 ) (6,896 ) (24,026 ) Write offs 11,894 — 11,894 Ending allowance (23,386 ) (25,762 ) (49,148 ) Net carrying value (March 31, 2020) $ 1,496,887 $ 653,376 $ 2,150,263 (1) Excludes loan loss allowances. December 31, 2019 First Lien Second Lien Total (dollars in thousands) Net carrying value (January 1, 2019) $ 1,346,356 $ 540,826 $ 1,887,182 Originations & advances 542,463 345,573 888,036 Principal payments (228,302 ) (140,625 ) (368,927 ) Amortization & accretion of (premium) discounts 5,960 2,936 8,896 Sales (262,974 ) — (262,974 ) Net (increase) decrease in allowance (7,363 ) — (7,363 ) Net carrying value (December 31, 2019) $ 1,396,140 $ 748,710 $ 2,144,850 The following table provides the amortized cost basis of corporate debt held for investment as of March 31, 2020 by vintage year and internal risk rating. Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2020 2019 2018 2017 2016 2015 Revolvers (dollars in thousands) 1-4 / Performing $ 826,447 $ 22,285 $ 319,686 $ 286,358 $ 158,446 $ 29,957 $ — $ 9,715 5 / Performing - Closely Monitored 966,454 233,623 257,888 325,885 100,588 21,932 14,198 12,340 6 / Performing - Special Mention 138,129 — 53,671 17,441 30,904 — 34,037 2,076 7 / Substandard 215,372 — 2,933 149,167 40,285 22,987 — — 8 / Doubtful 4,297 — — 4,297 — — — — 9 / Loss — — — — — — — — Total $ 2,150,699 $ 255,908 $ 634,178 $ 783,148 $ 330,223 $ 74,876 $ 48,235 $ 24,131 (1) The amortized cost basis excludes accrued interest and costs related to unfunded loans. As of March 31, 2020, the Company had $9.9 million of accrued interest receivable on corporate loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition. |
MORTGAGE SERVICING RIGHTS
MORTGAGE SERVICING RIGHTS | 3 Months Ended |
Mar. 31, 2020 | |
Transfers and Servicing [Abstract] | |
MORTGAGE SERVICING RIGHTS | 7. MORTGAGE SERVICING RIGHTS The Company owns variable interests in an entity that invests in MSRs. Refer to the “Variable Interest Entities” Note for a detailed discussion on this topic. MSRs represent the rights associated with servicing pools of residential mortgage loans. The Company and its subsidiaries do not originate or directly service residential mortgage loans. Rather, these activities are carried out by duly licensed subservicers who perform substantially all servicing functions for the loans underlying the MSRs. The Company intends to hold the MSRs as investments and elected to account for all of its investments in MSRs at fair value. As such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). The following table presents activity related to MSRs for the three months ended March 31, 2020 and 2019 : Three Months Ended March 31, 2020 March 31, 2019 (dollars in thousands) Fair value, beginning of period $ 378,078 $ 557,813 Change in fair value due to: Changes in valuation inputs or assumptions (1) (79,224 ) (43,089 ) Other changes, including realization of expected cash flows (18,296 ) (13,979 ) Fair value, end of period $ 280,558 $ 500,745 (1) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. For the three months ended March 31, 2020 and 2019, the Company recognized $22.8 million and $27.8 million of net servicing income from MSRs in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). |
VARIABLE INTEREST ENTITIES
VARIABLE INTEREST ENTITIES | 3 Months Ended |
Mar. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
VARIABLE INTEREST ENTITIES | 8. VARIABLE INTEREST ENTITIES Commercial Trusts The Company has invested in subordinate mortgage-backed securities issued by commercial securitization trusts (“Commercial Trusts”) and determined that it is the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership of the subordinate securities and its current designation as the directing certificate holder. Information regarding these securitization trusts are summarized in the table below. Type of Underlying Collateral Settlement Date Cut-off Date Principal Balance Face Value of Company’s Variable Interest at Settlement Date (dollars in thousands) Multifamily April 2015 $ 1,192,607 $ 89,446 Hotels June 2018 $ 982,000 $ 93,500 Multifamily August 2019 $ 271,700 $ 20,270 Office Building October 2019 $ 60,000 $ 60,000 Multifamily October 2019 $ 415,000 $ 75,359 Multifamily December 2019 $ 394,000 $ 110,350 Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the Commercial Trusts in order to avoid an accounting mismatch, and to represent more faithfully the economics of its interest in the entities. The fair value option requires that changes in fair value be reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company applied the practical expedient under ASU 2014-07, whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the Commercial Trusts are more observable, since the prices for these liabilities are primarily available from third-party pricing services utilized for multifamily and commercial mortgage-backed securities, while the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the financial assets of the Commercial Trusts are an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy. The Commercial Trusts mortgage loans had an aggregate unpaid principal balance of $2.3 billion and $2.3 billion at March 31, 2020 and December 31, 2019 , respectively. At March 31, 2020 and December 31, 2019 , there were no loans 90 days or more past due or on nonaccrual status. There is no gain or loss attributable to instrument-specific credit risk of the underlying loans or securitized debt securities at March 31, 2020 and 2019 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. Commercial Securitizations The Company also invests in commercial mortgage-backed securities issued by entities that are VIEs because they do not have sufficient equity at risk for the entities to finance their activities without additional subordinated financial support from other parties, but the Company is not the primary beneficiary because it does not have the power to direct the activities that most significantly impact the VIEs’ economic performance. For these entities, the Company’s maximum exposure to loss is the amortized cost basis of the securities it owns and it does not provide any liquidity arrangements, guarantees or other commitments to these VIEs. See the “Securities” Note for further information on Commercial Securities. Collateralized Loan Obligation In February 2019, the Company closed NLY 2019-FL2, a managed commercial real estate collateralized loan obligation (“CLO”) securitization with a face value of $857.3 million , which provides non-recourse financing to the Company collateralized by certain commercial real estate mortgage loans originated by the Company. As of March 31, 2020 a total of $552.2 million of notes were held by third parties and the Company retained or purchased $167.6 million of subordinated notes and preferred shares, which eliminate upon consolidation. The Company has determined that it is the primary beneficiary because it has the right to direct the servicer as well as remove the special servicer without cause and it holds variable interests that could be potentially significant to the CLO. The transfers of loans to the CLO did not qualify for sale accounting because the Company maintains effective control over the loans. The Company elected the fair value option for the financial liabilities issued by the CLO in order to simplify the accounting; however, the commercial loans continue to be carried at amortized cost as they were not eligible for the fair value option as it was not elected at origination of the loans. The Company incurred $8.3 million of costs in connection with the CLO that were expensed as incurred during the year ended December 31, 2019. The aggregate unpaid principal balance of loans in the CLO was $857.3 million at March 31, 2020 and there were no loans 90 days or more past due or on nonaccrual status. There is no gain or loss attributable to instrument-specific credit risk of the debt securities at March 31, 2020 based upon the Company’s process of monitoring events of default on the underlying mortgage loans. The contractual principal amount of the CLO debt held by third parties was $633.9 million at March 31, 2020 . Multifamily Securitization In November 2019, the Company repackaged Fannie Mae guaranteed multifamily mortgage-backed securities with a principal cut-off balance of $1.0 billion and retained interest only securities with a notional balance of $1.0 billion and senior securities with a principal balance of $28.5 million . In March 2020, the Company repackaged Fannie Mae guaranteed multifamily mortgage-backed securities with a principal cut-off balance of $0.5 billion and retained interest only securities with a notional balance of $0.5 billion . The Company determined that it was the primary beneficiary based upon its involvement in the design of the variable interest entity. The Company elected the fair value option for the financial liabilities of these VIEs in order to simplify the accounting; however, the financial assets were not eligible for the fair value option as it was not elected at purchase. The Company incurred $1.1 million of costs in connection with this multifamily securitization that were expensed as incurred during the three months ended March 31, 2020 . Residential Trusts The Company consolidates a securitization trust, which is included in “Residential Trusts” in the tables below, that issued residential mortgage-backed securities that are collateralized by residential mortgage loans that had been transferred to the trust by one of the Company’s subsidiaries. The Company owns the subordinate securities, and a subsidiary of the Company continues to be the master servicer. As such, the Company is deemed to be the primary beneficiary of the residential mortgage trust and consolidates the entity. The Company has elected the fair value option for the financial assets and liabilities of this VIE, but has not elected to apply the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trust are available from third-party pricing services. The contractual principal amount of the residential mortgage trust’s debt held by third parties was $50.1 million and $57.3 million at March 31, 2020 and December 31, 2019 , respectively. Residential Securitizations The Company also invests in residential mortgage-backed securities issued by entities that are VIEs because they do not have sufficient equity at risk for the entities to finance their activities without additional subordinated financial support from other parties, but the Company is not the primary beneficiary because it does not have the power to direct the activities that most significantly impact the VIEs’ economic performance. For these entities, the Company’s maximum exposure to loss is the amortized cost basis of the securities it owns and it does not provide any liquidity arrangements, guarantees or other commitments to these VIEs. See the “Securities” Note for further information on Residential Securities. OBX Trusts The entities in the table below are referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions which provide non-recourse financing to the Company that are collateralized by residential mortgage loans purchased by the Company. Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2018-1 March 2018 $ 327,162 OBX 2018-EXP1 August 2018 $ 383,451 OBX 2018-EXP2 October 2018 $ 384,027 OBX 2019-INV1 January 2019 $ 393,961 OBX 2019-EXP1 April 2019 $ 388,156 OBX 2019-INV2 June 2019 $ 383,760 OBX 2019-EXP2 July 2019 $ 463,405 OBX 2019-EXP3 October 2019 $ 465,492 OBX 2020-INV1 January 2020 $ 374,609 OBX 2020-EXP1 February 2020 $ 467,511 As of March 31, 2020 , a total of $2.5 billion of bonds were held by third parties and the Company retained $513.0 million of mortgage-backed securities, which were eliminated in consolidation. The Company is deemed to be the primary beneficiary and consolidates the OBX Trusts because it has power to direct the activities that most significantly impact the OBX Trusts’ performance and holds a variable interest that could be potentially significant to these VIEs. The Company has elected the fair value option for the financial assets and liabilities of these VIEs, but has not elected the practical expedient under ASU 2014-13 as prices of both the financial assets and financial liabilities of the residential mortgage trusts are available from third-party pricing services. The Company incurred $3.7 million and $1.7 million of costs during the three months ended March 31, 2020 and 2019 , respectively, in connection with these securitizations that were expensed as incurred. The contractual principal amount of the OBX Trusts’ debt held by third parties was $2.5 billion at March 31, 2020 . Although the residential mortgage loans have been sold for bankruptcy and state law purposes, the transfers of the residential mortgage loans to the OBX Trusts did not qualify for sale accounting and are reflected as intercompany secured borrowings that are eliminated upon consolidation. Credit Facility VIEs In June 2016, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of March 31, 2020 , the borrowing limit on this facility was $625.0 million . The subsidiary was deemed to be a VIE and the Company was determined to be the primary beneficiary due to its role as collateral manager and because it holds a variable interest in the entity that could potentially be significant to the entity. The Company has pledged as collateral for this facility corporate loans with a carrying amount of $732.5 million at March 31, 2020 . The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. At March 31, 2020 , the subsidiary had an intercompany receivable of $421.5 million , which eliminates upon consolidation and a secured financing of $421.5 million to the third party financial institution. In July 2017, a consolidated subsidiary of the Company entered into a credit facility with a third party financial institution. As of March 31, 2020 , the borrowing limit on this facility was $320.0 million . The subsidiary was deemed to be a VIE and the Company was determined to be the primary beneficiary due to its role as servicer and because it holds a variable interest in the entity that could potentially be significant to the entity. The Company has transferred corporate loans to the subsidiary with a carrying amount of $490.5 million at March 31, 2020 , which continue to be reflected in the Company’s Consolidated Statements of Financial Condition under Loans, net. At March 31, 2020 , the subsidiary had a secured financing of $289.5 million to the third party financial institution. In January 2019, a consolidated subsidiary of the Company (the “Borrower”) entered into a $300.0 million credit facility with a third party financial institution. As of March 31, 2020 , the Borrower had a secured financing of $202.1 million to the third party financial institution. The Company has pledged as collateral for this facility corporate loans with a carrying amount of $326.7 million at March 31, 2020 . MSR Silo The Company also owns variable interests in an entity that invests in MSRs and has structured its operations, funding and capitalization into pools of assets and liabilities, each referred to as a “silo.” Owners of variable interests in a given silo are entitled to all of the returns and subjected to the risk of loss on the investments and operations of that silo and have no substantive recourse to the assets of any other silo. While the Company previously held 100% of the voting interests in this entity, in August 2017, the Company sold 100% of such interests, and entered into an agreement with the entity’s affiliated portfolio manager giving the Company the power over the silo in which it owns all of the beneficial interests. As a result, the Company is considered to be the primary beneficiary and consolidates this silo. The Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $2.9 billion at March 31, 2020 . Assets of the VIEs may only be used to settle obligations of the VIEs. Creditors of the VIEs have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the VIEs. No gains or losses were recognized upon consolidation of existing VIEs. Interest income and expense are recognized using the effective interest method. The statements of financial condition of the Company’s VIEs, excluding the CLO, credit facility VIEs and OBX Trusts as the transfers of loans did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at March 31, 2020 and December 31, 2019 are as follows: March 31, 2020 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 74,117 Loans — — 57,777 Assets transferred or pledged to securitization vehicles 1,927,576 68,413 — Mortgage servicing rights — — 280,558 Principal and interest receivable 6,132 365 — Other assets — — 29,837 Total assets $ 1,933,708 $ 68,778 $ 442,289 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,637,505 $ 49,825 $ — Other secured financing — — 36,751 Payable for unsettled trades — — 15,123 Interest payable 2,202 121 — Other liabilities — 89 2,226 Total liabilities $ 1,639,707 $ 50,035 $ 54,100 December 31, 2019 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 67,455 Loans — — 66,722 Assets transferred or pledged to securitization vehicles 2,345,120 75,924 — Mortgage servicing rights — — 378,078 Principal and interest receivable 7,085 408 — Other assets — — 27,021 Total assets $ 2,352,205 $ 76,332 $ 539,276 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,967,523 $ 57,905 $ — Other secured financing — — 38,981 Payable for unsettled trades — — 18,364 Interest payable 3,008 137 — Other liabilities — 78 2,393 Total liabilities $ 1,970,531 $ 58,120 $ 59,738 The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs, OBX Trusts and CLO, at March 31, 2020 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Commercial Trusts Residential Trusts Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) California $ 1,270,649 38.7 % California $ 30,536 44.9 % Texas 479,164 14.6 % Texas 9,618 14.1 % New York 370,697 11.3 % Illinois 7,009 10.3 % Florida 196,495 6.0 % Washington 3,847 5.7 % Other (1) 969,240 29.4 % Other (1) 17,033 25.0 % Total $ 3,286,245 100.0 % Total $ 68,043 100.0 % (1) No individual state greater than 5% . |
REAL ESTATE
REAL ESTATE | 3 Months Ended |
Mar. 31, 2020 | |
Real Estate Properties Base Purchase Price [Abstract] | |
REAL ESTATE | 9. REAL ESTATE Real estate investments are carried at historical cost less accumulated depreciation. Historical cost includes all costs necessary to bring the asset to the condition and location necessary for its intended use, including financing during the construction period. Costs directly related to acquisitions deemed to be business combinations are expensed. Ordinary repairs and maintenance are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life. Real estate investments are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building and building improvements 1 - 44 years Furniture and fixtures 1 - 4 years There was no real estate acquired in settlement of residential mortgage loans at March 31, 2020 or December 31, 2019 other than real estate held by securitization trusts that the Company was required to consolidate. The Company would be considered to have received physical possession of residential real estate property collateralizing a residential mortgage loan, so that the loan is derecognized and the real estate property would be recognized, if either (i) the Company obtains legal title to the residential real estate property upon completion of a foreclosure or (ii) the borrower conveys all interest in the residential real estate property to the Company to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. Real estate investments, including REO, that do not meet the criteria to be classified as held for sale are classified in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded. The Company’s real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property’s value is considered impaired if the Company’s estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property. During the three months ended March 31, 2020 , the Company entered into a deed-in-lieu of foreclosure agreement and took title of a commercial real estate property with a basis of $35.8 million . There were no new acquisitions of real estate holdings during the three months ended March 31, 2019 . No properties were sold during the three months ended March 31, 2020 . The Company sold one of its wholly owned triple net leased properties during the three months ended March 31, 2019 for $6.7 million and recognized a gain on sale of $2.7 million . The weighted average amortization period for intangible assets and liabilities at March 31, 2020 is 6.3 years. Above market leases and leasehold intangible assets are included in Intangible assets, net and below market leases are included in Other liabilities in the Consolidated Statements of Financial Condition. March 31, 2020 December 31, 2019 Real estate, net (dollars in thousands) Land $ 134,206 $ 121,720 Buildings and improvements 595,149 571,396 Furniture, fixtures and equipment 11,336 11,238 Subtotal 740,691 704,354 Less: accumulated depreciation (92,772 ) (87,532 ) Total real estate held for investment, at amortized cost, net 647,919 616,822 Equity in unconsolidated joint ventures 103,819 108,816 Total real estate, net $ 751,738 $ 725,638 Depreciation expense was $5.2 million and $5.8 million for the three months ended March 31, 2020 and 2019 , respectively and is included in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). Rental Income The minimum rental amounts due under leases are generally either subject to scheduled fixed increases or adjustments. The leases generally also require that the tenants reimburse the Company for certain operating costs. Rental income is included in Other income (loss) in the Company’s Consolidated Statements of Comprehensive Income (Loss). Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at March 31, 2020 for consolidated investments in real estate are as follows: March 31, 2020 (dollars in thousands) 2020 (remaining) $ 36,967 2021 47,136 2022 43,303 2023 40,605 2024 36,683 Later years 182,098 Total $ 386,792 |
DERIVATIVE INSTRUMENTS
DERIVATIVE INSTRUMENTS | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVE INSTRUMENTS | 10. DERIVATIVE INSTRUMENTS Derivative instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA derivatives, options on TBA securities (“MBS options”), U.S. Treasury and Eurodollar futures contracts and certain forward purchase commitments. The Company may also enter into other types of mortgage derivatives such as interest-only securities, credit derivatives referencing the commercial mortgage-backed securities index and synthetic total return swaps. In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts. The Company may also enter into TBA derivatives, MBS options and U.S. Treasury or Eurodollar futures contracts, certain forward purchase commitments and credit derivatives to economically hedge its exposure to market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value and terms of the derivative contract. In the case of market agreed coupon (“MAC”) interest rate swaps, the Company may make or receive a payment at the time of entering into such interest rate swaps, which represents fair value of these swaps, to compensate for the out of market nature of such interest rate swaps. Subsequent changes in fair value from inception of these interest rate swaps are reflected within Unrealized gains (losses) on interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss). Similar to other interest rate swaps, the Company may have to pledge cash or assets as collateral for the MAC interest rate swap transactions. In the event of a default by the counterparty, the Company could have difficulty obtaining its pledged collateral as well as receiving payments in accordance with the terms of the derivative contracts. Derivatives are accounted for in accordance with FASB ASC 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. In accordance with a clearing organization’s rulebook, the Company presents the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. At March 31, 2020 and December 31, 2019 , $2.9 billion and $0.5 billion of variation margin was reported as an adjustment to interest rate swaps, at fair value. Interest Rate Swap Agreements – Interest rate swap agreements are the primary instruments used to mitigate interest rate risk. In particular, the Company uses interest rate swap agreements to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. The Company may enter into interest rate swap agreements where the floating leg is linked to the London Interbank Offered Rate (“LIBOR”), the overnight index swap rate or another index. Interest rate swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared interest rate swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared interest rate swaps, including MAC interest rate swaps, are generally fair valued using the DCO’s market values. If an interest rate swap is terminated, the realized gain (loss) on the interest rate swap would be equal to the difference between the cash received or paid and fair value. Swaptions – Swaptions are purchased or sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company’s swaptions are not centrally cleared. The premium paid or received for swaptions is reported as an asset or liability in the Consolidated Statements of Financial Condition. If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received or paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. The fair value of swaptions are estimated using internal pricing models and compared to the counterparty market values. TBA Dollar Rolls – TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities. MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date. Futures Contracts – Futures contracts are derivatives that track the prices of specific assets or benchmark rates. Short sales of futures contracts help to mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts which are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing. Forward Purchase Commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price, provided the residential mortgage loans close with the counterparties. The counterparties are required to deliver the committed loans on a “best efforts” basis. Credit Derivatives – The Company may enter into credit derivatives referencing the commercial mortgage-backed securities index, such as the CMBX index, and synthetic total return swaps. The table below summarizes fair value information about our derivative assets and liabilities at March 31, 2020 and December 31, 2019 : Derivatives Instruments March 31, 2020 December 31, 2019 Assets (dollars in thousands) Interest rate swaps $ — $ 1,199 Interest rate swaptions 58,468 11,580 TBA derivatives 180,307 15,181 Futures contracts — 77,889 Purchase commitments 1 2,050 Credit derivatives (1) — 5,657 $ 238,776 $ 113,556 Liabilities Interest rate swaps $ 1,244,309 $ 706,862 TBA derivatives 15,747 11,316 Futures contracts — 84,781 Purchase commitments 9,666 907 Credit derivatives (1) 61,466 — $ 1,331,188 $ 803,866 (1) The notional amount of the credit derivatives in which the Company purchased protection was $0.0 and $10.0 million at March 31, 2020 and December 31, 2019 , respectively. The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $525.0 million and $345.0 million at March 31, 2020 and December 31, 2019 , respectively, plus any coupon shortfalls on the underlying tranche. The credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and BBB-. The following table summarizes certain characteristics of the Company’s interest rate swaps at March 31, 2020 and December 31, 2019 : March 31, 2020 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 1,459,400 1.41 % 1.03 % 2.98 3 - 6 years 1,310,400 1.47 % 0.93 % 2.97 6 - 10 years 7,949,500 1.91 % 1.56 % 8.73 Greater than 10 years 2,249,000 3.42 % 1.21 % 17.54 Total / Weighted average $ 12,968,300 1.63 % 1.16 % 9.03 December 31, 2019 Maturity Current Notional (1)(2) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 38,942,400 1.60 % 1.84 % 1.29 3 - 6 years 16,097,450 1.77 % 1.87 % 4.30 6 - 10 years 16,176,500 2.20 % 2.02 % 9.00 Greater than 10 years 2,930,000 3.76 % 1.86 % 17.88 Total / Weighted average $ 74,146,350 1.84 % 1.89 % 4.23 (1) As of March 31, 2020 , 31% , 64% and 5% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. As of December 31, 2019 , 75% and 25% of the Company’s interest rate swaps were linked to LIBOR and the overnight index swap rate, respectively. (2) There were no forward starting swaps at March 31, 2020 and December 31, 2019 . (3) As of March 31, 2020 , the weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. The following table presents swaptions outstanding at March 31, 2020 and December 31, 2019 . March 31, 2020 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $3,675,000 2.54% 3M LIBOR 9.40 2.41 Long receive $750,000 1.50% 3M LIBOR 10.42 4.88 December 31, 2019 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $4,675,000 2.53% 3M LIBOR 9.22 4.66 Long receive $2,000,000 1.49% 3M LIBOR 10.29 3.40 The following table summarizes certain characteristics of the Company’s TBA derivatives at March 31, 2020 and December 31, 2019 : March 31, 2020 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 12,581,000 $ 12,951,197 $ 13,115,757 $ 164,560 Net TBA derivatives $ 12,581,000 $ 12,951,197 $ 13,115,757 $ 164,560 December 31, 2019 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 10,043,000 $ 10,182,891 $ 10,192,038 $ 9,147 Sale contracts (3,144,000 ) (3,294,486 ) (3,299,768 ) (5,282 ) Net TBA derivatives $ 6,899,000 $ 6,888,405 $ 6,892,270 $ 3,865 The following table summarizes certain characteristics of the Company’s futures derivatives at December 31, 2019 . There were no futures derivatives at March 31, 2020 : December 31, 2019 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (180,000 ) 1.96 U.S. Treasury futures - 5 year — (2,953,300 ) 4.42 U.S. Treasury futures - 10 year and greater 2,600,000 (5,806,400 ) 9.74 Total $ 2,600,000 $ (8,939,700 ) 8.26 The Company presents derivative contracts on a gross basis on the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset on our Consolidated Statements of Financial Condition at March 31, 2020 and December 31, 2019 , respectively. March 31, 2020 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 58,468 $ — $ — $ 58,468 TBA derivatives, at fair value 180,307 (15,747 ) — 164,560 Purchase commitments 1 — — 1 Liabilities Interest rate swaps, at fair value $ 1,244,309 $ — $ (162,668 ) $ 1,081,641 TBA derivatives, at fair value 15,747 (15,747 ) — — Purchase commitments 9,666 — — 9,666 Credit derivatives 61,466 — (48,845 ) 12,621 December 31, 2019 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 1,199 $ (951 ) $ — $ 248 Interest rate swaptions, at fair value 11,580 — — 11,580 TBA derivatives, at fair value 15,181 (5,018 ) — 10,163 Futures contracts, at fair value 77,889 (10,902 ) — 66,987 Purchase commitments 2,050 — — 2,050 Credit derivatives 5,657 — — 5,657 Liabilities Interest rate swaps, at fair value $ 706,862 $ (951 ) $ (104,205 ) $ 601,706 TBA derivatives, at fair value 11,316 (5,018 ) — 6,298 Futures contracts, at fair value 84,781 (10,902 ) (73,879 ) — Purchase commitments 907 — — 907 The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) Net Interest Component of Interest Rate Swaps Realized Gains (Losses) on Termination of Interest Rate Swaps Unrealized Gains (Losses) on Interest Rate Swaps For the three months ended (dollars in thousands) March 31, 2020 $ (13,980 ) $ (397,561 ) $ (2,827,723 ) March 31, 2019 $ 134,035 $ (588,256 ) $ (390,556 ) The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended March 31, 2020 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 271,085 $ 160,695 $ 431,780 Net interest rate swaptions 51,445 70,133 121,578 Futures (279,476 ) 6,892 (272,584 ) Purchase commitments — (10,809 ) (10,809 ) Credit derivatives 1,925 (65,464 ) (63,539 ) Total $ 206,426 Three Months Ended March 31, 2019 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 213,725 $ (39,940 ) $ 173,785 Net interest rate swaptions (29,992 ) 19,684 (10,308 ) Futures (491,741 ) 202,312 (289,429 ) Purchase commitments — 1,145 1,145 Credit derivatives 2,302 7,346 9,648 Total $ (115,159 ) Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at March 31, 2020 was approximately $1.1 billion , which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized. |
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS | 3 Months Ended |
Mar. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE MEASUREMENTS | 11. FAIR VALUE MEASUREMENTS The Company follows fair value guidance in accordance with GAAP to account for its financial instruments and MSRs that are accounted for at fair value. The fair value of a financial instrument and MSR is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. GAAP requires classification of financial instruments and MSRs into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments and MSRs fall within different levels of the hierarchy, the categorization is based on the lowest priority input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value. The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential Securities, residential mortgage loans, interest rate swap and swaption markets, TBA derivatives and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of debt issued by securitization vehicles, refer to the Note titled “Variable Interest Entities” for additional information. The Company classifies its investments in MSRs as Level 3 in the fair value measurements hierarchy. Fair value estimates for these investments are obtained from models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including prepayment rates, delinquency levels, costs to service and discount rates. Model valuations are then compared to valuations obtained from third-party pricing providers. Management reviews the valuations received from third-party pricing providers and uses them as a point of comparison to modeled values. The valuation of MSRs requires significant judgment by management and the third-party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements. The following tables present the estimated fair values of financial instruments and MSRs measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. March 31, 2020 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 78,456,846 $ — $ 78,456,846 Credit risk transfer securities — 222,871 — 222,871 Non-Agency mortgage-backed securities — 585,954 — 585,954 Commercial mortgage-backed securities — 91,925 — 91,925 Loans Residential mortgage loans — 1,268,083 — 1,268,083 Mortgage servicing rights — — 280,558 280,558 Assets transferred or pledged to securitization vehicles — 6,758,371 — 6,758,371 Derivative assets Other derivatives — 238,776 — 238,776 Total assets $ — $ 87,622,826 $ 280,558 $ 87,903,384 Liabilities Debt issued by securitization vehicles — 6,364,949 — 6,364,949 Derivative liabilities Interest rate swaps — 1,244,309 — 1,244,309 Other derivatives — 86,879 — 86,879 Total liabilities $ — $ 7,696,137 $ — $ 7,696,137 December 31, 2019 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 112,893,367 $ — $ 112,893,367 Credit risk transfer securities — 531,322 — 531,322 Non-Agency mortgage-backed securities — 1,135,868 — 1,135,868 Commercial mortgage-backed securities — 273,023 — 273,023 Loans Residential mortgage loans — 1,647,787 — 1,647,787 Mortgage servicing rights — — 378,078 378,078 Assets transferred or pledged to securitization vehicles — 6,066,082 — 6,066,082 Derivative assets Interest rate swaps — 1,199 — 1,199 Other derivatives 77,889 34,468 — 112,357 Total assets $ 77,889 $ 122,583,116 $ 378,078 $ 123,039,083 Liabilities Debt issued by securitization vehicles $ — $ 5,622,801 $ — $ 5,622,801 Derivative liabilities Interest rate swaps — 706,862 — 706,862 Other derivatives 84,781 12,223 — 97,004 Total liabilities $ 84,781 $ 6,341,886 $ — $ 6,426,667 Quantitative Information about Level 3 Fair Value Measurements The Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements are described below. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently from changes in any other assumptions. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply. For MSRs, in general, increases in the discount, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement. A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s investments in MSRs, which in turn could result in a decline in the estimated fair value of MSRs. Refer to the Note titled “Mortgage Servicing Rights” for additional information. The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. March 31, 2020 December 31, 2019 Valuation Technique Unobservable Input (1) Range (Weighted Average ) (2) Unobservable Input (1) Range (Weighted Average ) (2) Discounted cash flow Discount rate 9.0% -12.0% (9.3%) Discount rate 9.0% -12.0% (9.3%) Prepayment rate 10.1% - 39.6% (24.9%) Prepayment rate 6.3% - 26.6% (13.7%) Delinquency rate 0.0% - 4.0% (2.1%) Delinquency rate 0.0% - 4.0% (2.2%) Cost to service $81 - $134 ($108) Cost to service $81 - $135 ($107) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. (2) Weighted average discount rate computed based on the fair value of MSRs, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSRs. The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment (1) $ 1,563,134 $ 1,589,752 $ 1,606,091 $ 1,619,018 Corporate debt, held for investment 2,150,263 1,965,186 2,144,850 2,081,327 Financial liabilities Repurchase agreements $ 72,580,183 $ 72,580,183 $ 101,740,728 $ 101,740,728 Other secured financing 1,805,428 1,805,428 4,455,700 4,455,700 Mortgage payable 484,762 574,648 485,005 515,994 (1) Includes assets of consolidated VIEs. Commercial real estate debt and preferred equity, held for investment, corporate debt, held for investment and mortgage payable are valued using Level 3 inputs. The carrying values of short term repurchase agreements and other secured financing approximates fair value. Long term repurchase agreements and other secured financing are valued using Level 2 inputs. |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS | 3 Months Ended |
Mar. 31, 2020 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
GOODWILL AND INTANGIBLE ASSETS | 12. GOODWILL AND INTANGIBLE ASSETS Goodwill The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain. The Company tests goodwill for impairment on an annual basis or more frequently when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. At March 31, 2020 and December 31, 2019 , goodwill totaled $71.8 million . Intangible assets, net Finite life intangible assets are amortized over their expected useful lives. The following table presents the activity of finite lived intangible assets for the three months ended March 31, 2020 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2019 $ 20,957 Intangible assets acquired 6,683 Intangible assets divested (110 ) Less: amortization expense (1,052 ) Balance at March 31, 2020 $ 26,478 |
SECURED FINANCING
SECURED FINANCING | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
SECURED FINANCING | 13. SECURED FINANCING Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assessed each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements meet the specified criteria in this guidance. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company obtains collateral in connection with the reverse repurchase agreements in order to mitigate credit risk exposure to its counterparties. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows. The Company had outstanding $72.6 billion and $101.7 billion of repurchase agreements with weighted average borrowing rates of 1.91% and 1.99% , after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 48 days and 65 days at March 31, 2020 and December 31, 2019 , respectively. The Company has select arrangements with counterparties to enter into repurchase agreements for $1.6 billion with remaining capacity of $1.2 billion at March 31, 2020 . At March 31, 2020 and December 31, 2019 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: March 31, 2020 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 20,238,083 $ — $ — $ — $ — $ 20,238,083 0.31 % 2 to 29 days 19,628,403 108,219 355,896 — 134,110 20,226,628 1.49 % 30 to 59 days 11,984,266 — 71,040 — — 12,055,306 1.58 % 60 to 89 days 10,559,727 76,197 391,033 — 35,326 11,062,283 1.61 % 90 to 119 days 2,291,460 — — — — 2,291,460 1.80 % Over 119 days (1) 6,125,669 — 52,190 368,589 159,975 6,706,423 1.74 % Total $ 70,827,608 $ 184,416 $ 870,159 $ 368,589 $ 329,411 $ 72,580,183 1.23 % December 31, 2019 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — — % 2 to 29 days 36,030,104 237,897 698,091 — 416,439 37,382,531 2.15 % 30 to 59 days 15,079,989 — 115,805 — 104,363 15,300,157 2.00 % 60 to 89 days 21,931,335 30,841 151,920 — 3,639 22,117,735 1.97 % 90 to 119 days 9,992,914 — — — — 9,992,914 1.97 % Over 119 days (1) 16,557,123 — 58,712 303,078 28,478 16,947,391 1.90 % Total $ 99,591,465 $ 268,738 $ 1,024,528 $ 303,078 $ 552,919 $ 101,740,728 2.03 % (1) No repurchase agreements had a remaining maturity over 1 year at March 31, 2020 and December 31, 2019 . The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at March 31, 2020 and December 31, 2019 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. March 31, 2020 December 31, 2019 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 1,000,000 $ 73,580,183 $ 100,000 $ 101,840,728 Amounts offset (1,000,000 ) (1,000,000 ) (100,000 ) (100,000 ) Netted amounts $ — $ 72,580,183 $ — $ 101,740,728 Other Secured Financing - The Company also finances a portion of its financial assets with advances from the Federal Home Loan Bank of Des Moines (“FHLB Des Moines”). Borrowings from FHLB Des Moines are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition. At March 31, 2020 , $0.9 billion of advances from the FHLB Des Moines mature in less than one year. At December 31, 2019 , $1.4 billion of advances from the FHLB Des Moines matured in less than one year and $2.1 billion mature between one to three years . The weighted average rate of the advances from the FHLB Des Moines was 2.04% and 2.16% at March 31, 2020 and December 31, 2019 , respectively. The Company held $38.6 million and $147.9 million of capital stock in the FHLB Des Moines at March 31, 2020 and December 31, 2019 , respectively, which is reported at cost and included in Other assets on the Company’s Consolidated Statements of Financial Condition. Investments pledged as collateral under secured financing arrangements and interest rate swaps, excluding residential and senior securitized commercial mortgage loans of consolidated VIEs, had an estimated fair value and accrued interest of $80.0 billion and $254.6 million , respectively, at March 31, 2020 and $112.8 billion and $357.9 million , respectively, at December 31, 2019 . Mortgage loans payable at March 31, 2020 and December 31, 2019 , were as follows: March 31, 2020 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,597 $ 318,497 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,471 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 82,461 84,206 2.34% - 4.55% Fixed 2036 - 2053 First liens Texas 31,535 33,023 3.28% Fixed 1/1/2048 and 1/1/2053 First liens Utah 9,706 9,706 L+2.75% Floating 1/31/2021 First liens Utah 7,051 7,069 3.69% Fixed 6/1/2053 First liens Minnesota 13,193 13,226 3.69% Fixed 6/1/2053 First liens Wisconsin 7,748 7,768 3.69% Fixed 6/1/2053 First liens Total $ 484,762 $ 489,820 December 31, 2019 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,566 $ 318,562 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,029 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 82,940 84,702 2.34% - 4.55% Fixed 2036 - 2053 First liens Texas 31,667 33,167 3.28% Fixed 1/1/2048 and 1/1/2053 First liens Utah 9,706 9,706 L+3.50% Floating 1/31/2020 First liens Utah 7,077 7,096 3.69% Fixed 6/1/2053 First liens Minnesota 13,243 13,276 3.69% Fixed 6/1/2053 First liens Wisconsin 7,777 7,797 3.69% Fixed 6/1/2053 First liens Total $ 485,005 $ 490,631 The following table details future mortgage loan principal payments at March 31, 2020 : Mortgage Loan Principal Payments (dollars in thousands) 2020 (remaining) $ 2,472 2021 13,197 2022 20,034 2023 3,844 2024 3,980 Later years 446,293 Total $ 489,820 |
CAPITAL STOCK
CAPITAL STOCK | 3 Months Ended |
Mar. 31, 2020 | |
Equity [Abstract] | |
CAPITAL STOCK | 14. CAPITAL STOCK (A) Common Stock The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at March 31, 2020 and December 31, 2019 . Shares authorized Shares issued and outstanding March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 Par Value Common stock 2,914,850,000 2,914,850,000 1,430,424,398 1,430,106,199 $0.01 During the three months ended March 31, 2019 , the Company closed the public offering of an original issuance of 75.0 million shares of common stock for proceeds of $730.5 million before deducting offering expenses. In connection with the offering, the Company granted the underwriters a thirty-day option to purchase up to an additional 11.3 million shares of common stock, which the underwriters exercised in full resulting in an additional $109.6 million in proceeds before deducting offering expenses. In June 2019, the Company announced that its board of directors (“Board”) had authorized the repurchase of up to $1.5 billion of its outstanding shares of common stock through December 31, 2020. No shares were purchased pursuant to this authorization during the three months ended March 31, 2020 . The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. Three Months Ended March 31, 2020 March 31, 2019 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program — 87,000 Amount raised from direct purchase and dividend reinvestment program $ — $ 892 In January 2018, the Company entered into separate Distribution Agency Agreements (collectively, the “Sales Agreements”) with each of Wells Fargo Securities, LLC, Merrill Lynch, Pierce, Fenner & Smith, Incorporated, Barclays Capital Inc., Citigroup Global Markets Inc., Credit Suisse Securities (USA) LLC, Goldman Sachs & Co. LLC, J.P. Morgan Securities LLC, Keefe, Bruyette & Woods, Inc., RBC Capital Markets, LLC and UBS Securities LLC (the “Sales Agents”). The Company may offer and sell shares of its common stock, having an aggregate offering price of up to $1.5 billion from time to time through any of the Sales Agents. No shares were issued under the at-the-market sales program during the three months ended March 31, 2020 . During the three months ended March 31, 2019 , the Company issued 48.0 million shares for proceeds of $489.0 million , net of commissions and fees, under the at-the-market sales program. (B) Preferred Stock The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at March 31, 2020 and December 31, 2019 . In the event of a liquidation or dissolution of the Company, the Company’s then outstanding preferred stock takes precedence over the Company’s common stock with respect to payment of dividends and the distribution of assets. Shares Authorized Shares Issued And Outstanding Carrying Value Contractual Rate Earliest Redemption Date (1) Date At Which Dividend Rate Becomes Floating Floating Annual Rate March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 Fixed-rate (dollars in thousands) Series D 18,400,000 18,400,000 18,400,000 18,400,000 445,457 445,457 7.50% 9/13/2017 NA NA Fixed-to-floating rate Series F 28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95% 9/30/2022 9/30/2022 3M LIBOR + 4.993% Series G 19,550,000 19,550,000 17,000,000 17,000,000 411,335 411,335 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Series I 18,400,000 18,400,000 17,700,000 17,700,000 428,324 428,324 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 85,150,000 85,150,000 81,900,000 81,900,000 $ 1,982,026 $ 1,982,026 (1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. Each series of preferred stock has a par value of $0.01 per share and a liquidation and redemption price of $25.00 , plus accrued and unpaid dividends through their redemption date. Through March 31, 2020 , the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. The Series D Cumulative Redeemable Preferred Stock, Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, Series G Preferred Stock and Series I Preferred Stock rank senior to the common stock of the Company. (C) Distributions to Stockholders The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Three Months Ended March 31, 2020 March 31, 2019 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 357,819 $ 434,627 Distributions declared per common share $ 0.25 $ 0.30 Distributions paid to common stockholders after period end $ 357,606 $ 434,431 Distributions paid per common share after period end $ 0.25 $ 0.30 Date of distributions paid to common stockholders after period end April 30, 2020 April 30, 2019 Dividends declared to series C preferred stockholders $ — $ 3,336 Dividends declared per share of series C preferred stock (1) $ — $ 0.477 Dividends declared to series D preferred stockholders $ 8,625 $ 8,625 Dividends declared per share of series D preferred stock $ 0.469 $ 0.469 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 Dividends declared to series H preferred stockholders $ — $ 1,117 Dividends declared per share of series H preferred stock $ — $ 0.508 Dividends declared to series I preferred stockholders $ 7,468 $ — Dividends declared per share of series I preferred stock $ 0.422 $ — |
INTEREST INCOME AND INTEREST EX
INTEREST INCOME AND INTEREST EXPENSE | 3 Months Ended |
Mar. 31, 2020 | |
Banking and Thrift, Interest [Abstract] | |
INTEREST INCOME AND INTEREST EXPENSE | 15. INTEREST INCOME AND INTEREST EXPENSE Refer to the Note titled “Significant Accounting Policies” for details surrounding the Company’s accounting policy related to net interest income on securities and loans. The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows CMO (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime jumbo (2) Prospective Prime jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (2) Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. The following presents the components of the Company’s interest income and interest expense for the three months ended March 31, 2020 and March 31, 2019 . For the Three Months Ended March 31, 2020 2019 Interest income (dollars in thousands) Residential Securities (1) $ 410,380 $ 709,774 Residential mortgage loans (1) 47,557 29,991 Commercial investment portfolio (1) (2) 95,676 100,952 Reverse repurchase agreements 1,413 25,469 Total interest income $ 555,026 $ 866,186 Interest expense Repurchase agreements 434,021 579,514 Debt issued by securitization vehicles 42,119 34,207 Other 27,333 33,974 Total interest expense 503,473 647,695 Net interest income $ 51,553 $ 218,491 (1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt. |
NET INCOME (LOSS) PER COMMON SH
NET INCOME (LOSS) PER COMMON SHARE | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share [Abstract] | |
NET INCOME (LOSS) PER COMMON SHARE | 16. NET INCOME (LOSS) PER COMMON SHARE The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three months ended March 31, 2020 and March 31, 2019 . For the Three Months Ended March 31, 2020 March 31, 2019 (dollars in thousands, except per share data) Net income (loss) $ (3,640,189 ) $ (849,251 ) Net income (loss) attributable to noncontrolling interests 66 (101 ) Net income (loss) attributable to Annaly (3,640,255 ) (849,150 ) Dividends on preferred stock 35,509 32,494 Net income (loss) available (related) to common stockholders $ (3,675,764 ) $ (881,644 ) Weighted average shares of common stock outstanding-basic 1,430,994,319 1,398,614,205 Add: Effect of stock awards, if dilutive — — Weighted average shares of common stock outstanding-diluted 1,430,994,319 1,398,614,205 Net income (loss) per share available (related) to common share Basic $ (2.57 ) $ (0.63 ) Diluted $ (2.57 ) $ (0.63 ) The computations of diluted net income (loss) per share available (related) to common share for the three months ended March 31, 2020 excludes 0.1 million of potentially dilutive restricted stock units and the three months ended March 31, 2019 excludes options to purchase 0.2 million shares of common stock, due to the anti-dilutive effect. |
INCOME TAXES
INCOME TAXES | 3 Months Ended |
Mar. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | 17. INCOME TAXES For the three months ended March 31, 2020 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements that relate to, among other things, assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100% of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company distributes such shortfall within the next year as permitted by the Code. The Company and certain of its direct and indirect subsidiaries, including Annaly TRS, Inc. and certain subsidiaries of Mountain Merger Sub Corp., have made separate joint elections to treat these subsidiaries as TRSs. As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income. The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were deemed necessary at March 31, 2020 and December 31, 2019 . The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes. During the three months ended March 31, 2020 and March 31, 2019 , the Company recorded ($26.7) million and $2.6 million , respectively, of income tax expense (benefit) attributable to its TRSs. The Company’s federal, state and local tax returns from 2016 and forward remain open for examination. |
RISK MANAGEMENT
RISK MANAGEMENT | 3 Months Ended |
Mar. 31, 2020 | |
Risk Management [Abstract] | |
RISK MANAGEMENT | 18. RISK MANAGEMENT The primary risks to the Company are capital, liquidity and funding risk, investment/market risk and credit risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on interest earning assets and the interest expense incurred in connection with the interest bearing liabilities, by affecting the spread between the interest earning assets and interest bearing liabilities. Changes in the level of interest rates can also affect the value of the interest earning assets and the Company’s ability to realize gains from the sale of these assets. A decline in the value of the interest earning assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral or liquidating some of the existing collateral to reduce borrowing levels. The Company may seek to mitigate the potential financial impact by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges. Weakness in the mortgage market, the shape of the yield curve and changes in the expectations for the volatility of future interest rates may adversely affect the performance and market value of the Company’s investments. This could negatively impact the Company’s book value. Furthermore, if many of the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario and sensitivity analyses and utilizing a range of hedging strategies. The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, which exclude CRT securities issued by Freddie Mac and Fannie Mae, is guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities is backed by the full faith and credit of the U.S. government. Substantially all of the Company’s Agency mortgage-backed securities have an actual or implied “AAA” rating. The Company faces credit risk on the portions of its portfolio which are not guaranteed by the respective Agency or by the full faith and credit of the U.S. government. The Company is exposed to credit risk on CRE Debt and Preferred Equity Investments, real estate investments, commercial mortgage-backed securities, residential mortgage loans, CRT securities, other non-Agency mortgage-backed securities and corporate debt. MSR values may also be adversely impacted if overall costs to service the underlying mortgage loans increase due to borrower performance. The Company is exposed to risk of loss if an issuer, borrower, tenant or counterparty fails to perform its obligations under contractual terms. The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, maintaining qualifying collateral and continually assessing the creditworthiness of issuers, borrowers, tenants and counterparties. The conditions related to Coronavirus Disease 2019 (“COVID-19”) could further impact the aforementioned primary risks to the Company. The significant decrease in economic activity and/or the resulting decline in the housing market could have an adverse effect on the value of the Company’s investments in mortgage real estate-related assets, particularly residential real estate assets. Further, borrowers may experience difficulties meeting their obligations or seek to forbear payment on or refinance their mortgage loans to avail themselves of lower rates which may have an adverse impact on the value of the Company’s mortgage real estate related-assets. In addition to residential mortgage-related assets, the adverse economic conditions could negatively impact tenants in the Company’s commercial property assets and/or businesses in which it lends to in connection with its middle market lending activities, resulting in potential delinquencies, defaults or declines in asset values. If conditions related to COVID-19 persist, the Company could also experience an unwillingness or inability of its potential lenders to provide the Company with or renew financing, increased margin calls, and/or additional capital requirements particularly in connection with the Company’s less liquid credit assets. These conditions could force the Company to sell its assets at inopportune times or otherwise cause the Company to potentially revise its strategic business initiatives, which could adversely affect its business. The extent of the COVID 19-related disruptions, the duration of the pandemic and the effectiveness of government policies, laws and plans are unknown at this time. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 3 Months Ended |
Mar. 31, 2020 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | 19. RELATED PARTY TRANSACTIONS Management Agreement On February 12, 2020, the Company entered an internalization agreement (the “Internalization Agreement”) with the Manager and certain affiliates of the Manager. Pursuant to the Internalization Agreement, the Company agreed to acquire all of the outstanding equity interests of the Manager and the Manager’s direct and indirect parent companies from their respective owners (the “Internalization”) for nominal cash consideration ($1.00). Upon closing of the Internalization, the Management Agreement will be terminated. If the closing does not occur, the Management Agreement will remain in place on the terms and conditions described herein. Until the closing of the Internalization, management of the Company will continue to be conducted by the Manager through the authority delegated to it in the Management Agreement and pursuant to the policies established by the Board. The management agreement was amended and restated on August 1, 2018, and further amended on March 27, 2019 (the management agreement, as amended and restated, is referred to as “Management Agreement”). Until the closing of the Internalization, the Manager, under the Management Agreement and subject to the supervision and direction of the Board, is responsible for (i) the selection, purchase and sale of assets for the Company’s investment portfolio; (ii) recommending alternative forms of capital raising; (iii) supervising the Company’s financing and hedging activities; and (iv) day to day management functions. The Manager also performs such other supervisory and management services and activities relating to the Company’s assets and operations as may be appropriate. In exchange for the management services, the Company pays the Manager a monthly management fee, and the Manager is responsible for providing personnel to manage the Company. Prior to the most recent amendment to the Management Agreement, which was executed on March 27, 2019, the Company had paid the Manager a flat monthly management fee equal to 1/12th of 1.05% of Stockholders' Equity (as defined in the Management Agreement) for its management services. Pursuant to the March 27, 2019 amendment to the Management Agreement, the Company now, and until the closing of the Internalization, pays the Manager a monthly management fee for its management services in an amount equal to 1/12th of the sum of (i) 1.05% of Stockholders' Equity (as defined in the Management Agreement) up to $17.28 billion , and (ii) 0.75% of Stockholders' Equity (as defined in the Management Agreement) in excess of $17.28 billion . The Company does not pay the Manager any incentive fees. For the three months ended March 31, 2020 and 2019 , the compensation and management fee was $40.8 million and $44.8 million , respectively. Following the unanimous approval of the Company’s independent directors (the “Independent Directors”), in August 2018, the Company began reimbursing the Manager for certain services in connection with the management and operations of the Company and its subsidiaries as permitted under the terms of the Management Agreement. Such reimbursable expenses include the cost for certain legal, tax, accounting and other support and advisory services provided by employees of the Manager to the Company. Pursuant to the Management Agreement, until the closing of the Internalization, the Company may reimburse the Manager for the cost of such services, provided such costs are no greater than those that would be payable to comparable third party providers. Expense reimbursements and related waivers are routinely reviewed with the Audit Committee of the Board in conformance with established policies. Reimbursement payments to the Manager were $7.1 million for the three months ended March 31, 2020 and 2019. None of the reimbursement payments are attributable to compensation of the Company’s executive officers. At March 31, 2020 and December 31, 2019 the Company had amounts payable to the Manager of $13.9 million and $15.8 million , respectively. The Management Agreement’s current term ends on December 31, 2021 and, if the closing of the Internalization does not occur, will automatically renew for successive two -year terms unless at least two-thirds of the Independent Directors or the holders of a majority of the outstanding shares of the Company’s common stock in their sole discretion elect to terminate the agreement for any or no reason upon 365 days prior written notice (such notice, a “Termination Notice”). If the Company makes an election to terminate the Management Agreement as described above, the Company may elect to accelerate the termination date (the “Termination Date”) to a date that is between seven and 90 days after the date of the Company’s delivery of a Termination Notice (the “Notice Delivery Date”). If the Company does not make an election to accelerate the Termination Date, then the Manager may elect to accelerate the Termination Date to the date that is 90 days after the Notice Delivery Date. If the Termination Date is accelerated (such date, the “Accelerated Termination Date”) by either the Company or the Manager, in addition to any amounts accrued for the period prior to the Accelerated Termination Date, the Company shall pay the Manager an acceleration fee (the “Acceleration Fee”) in an amount equal to the average annual management fee earned by the Manager during the 24-month period immediately preceding such Accelerated Termination Date multiplied by a fraction with a numerator of 365 minus the number of days from the Notice Delivery Date to the Accelerated Termination Date, and a denominator of 365. The Management Agreement may also be terminated by the Manager for any reason or no reason upon 365 days prior written notice, or with shorter notice periods by either the Company or the Manager for cause or by the Company in the event of a sale of the Manager that was not pre-approved by the Independent Directors. The Management Agreement may be amended or modified by agreement between the Company and the Manager. |
LEASE COMMITMENTS AND CONTINGEN
LEASE COMMITMENTS AND CONTINGENCIES | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
LEASE COMMITMENTS AND CONTINGENCIES | 20. LEASE COMMITMENTS AND CONTINGENCIES The Company adopted ASU 2016-02, Leases (Topic 842) on January 1, 2019 with no impact to retained earnings or other components of equity. The Company’s operating leases are primarily comprised of a corporate office lease with a remaining lease term of five years . The corporate office lease includes an option to extend for up to five years , however the extension term was not included in the operating lease liability calculation. Leases with an initial term of 12 months or less are not recorded on the balance sheet. The Company recognizes lease expense for these leases on a straight-line basis over the lease term. The lease cost for the three months ended March 31, 2020 was $0.8 million . Supplemental information related to leases as of and for the three months ended March 31, 2020 was as follows: Operating Leases Classification March 31, 2020 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 15,140 Liabilities Operating lease liabilities (1) Other liabilities $ 19,656 Lease term and discount rate Weighted average remaining lease term 5.4 years Weighted average discount rate (1) 2.9% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 928 (1) As the Company’s leases do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. The following table provides details related to maturities of lease liabilities: Maturity of Lease Liabilities Years ending December 31, (dollars in thousands) 2020 (remaining) $ 2,871 2021 3,918 2022 3,862 2023 3,862 2024 3,862 Later years 2,895 Total lease payments $ 21,270 Less imputed interest 1,614 Present value of lease liabilities $ 19,656 Contingencies From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Company’s consolidated financial statements. There were no material contingencies at March 31, 2020 and December 31, 2019 . |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS | 3 Months Ended |
Mar. 31, 2020 | |
Regulatory Capital Requirements [Abstract] | |
ARCOLA REGULATORY REQUIREMENTS | 21. ARCOLA REGULATORY REQUIREMENTS Arcola is the Company’s wholly owned and consolidated broker-dealer. Arcola is subject to regulations of the securities business that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees. Arcola is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Arcola enters into reverse repurchase agreements and repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on settlement date at the contractual amount and are collateralized by mortgage-backed or other securities. Arcola generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. Arcola’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and Arcola will require counterparties to deposit additional collateral, when necessary. All reverse repurchase activities are transacted under master repurchase agreements or other documentation that give Arcola the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. As a member of the Financial Industry Regulatory Authority (“FINRA”), Arcola is required to maintain a minimum net capital balance. At March 31, 2020 Arcola had a minimum net capital requirement of $0.3 million . Arcola consistently operates with capital in excess of its regulatory capital requirements. Arcola’s regulatory net capital as defined by SEC Rule 15c3-1 at March 31, 2020 was $409.0 million with excess net capital of $408.7 million . |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 3 Months Ended |
Mar. 31, 2020 | |
Subsequent Events [Abstract] | |
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SIGNIFICANT ACCOUNTING POLICI_2
SIGNIFICANT ACCOUNTING POLICIES (Policies) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). |
Principles of Consolidation | Principles of Consolidation – The consolidated financial statements include the accounts of the entities where the Company has a controlling financial interest. In order to determine whether the Company has a controlling financial interest, it first evaluates whether an entity is a voting interest entity (“VOE”) or a variable interest entity (“VIE”). All intercompany balances and transactions have been eliminated in consolidation. |
Voting Interest Entities | Voting Interest Entities – A VOE is an entity that has sufficient equity and in which equity investors have a controlling financial interest. The Company consolidates VOEs where it has a majority of the voting equity of such VOE. |
Variable Interest Entities | Variable Interest Entities – A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion to change. Refer to the “Variable Interest Entities” Note for further information. Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the Commercial Trusts in order to avoid an accounting mismatch, and to represent more faithfully the economics of its interest in the entities. The fair value option requires that changes in fair value be reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company applied the practical expedient under ASU 2014-07, whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the Commercial Trusts are more observable, since the prices for these liabilities are primarily available from third-party pricing services utilized for multifamily and commercial mortgage-backed securities, while the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the financial assets of the Commercial Trusts are an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy. |
Equity Method Investments | Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in real estate, net and Other assets with income or loss included in Other income (loss). |
Cash and Cash Equivalents | Cash and Cash Equivalents – |
Equity Securities | Equity Securities – The Company may invest in equity securities that are not accounted for under the equity method or do not result in consolidation. These equity securities are required to be reported at fair value with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net unrealized gains (losses) on instruments measured at fair value through earnings, unless the securities do not have readily determinable fair values. For such equity securities without readily determinable fair values, the Company has elected to carry the securities at cost less impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for the identical or similar investment of the same issuer. For equity securities carried at fair value through earnings, dividends are recorded in earnings on the declaration date. Dividends from equity securities without readily determinable fair values are recognized as income when received to the extent they are distributed from net accumulated earnings. |
Fair Value Measurements and the Fair Value Option | Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option (“FVO”). The Company chooses to elect the fair value option in order to simplify the accounting treatment for certain financial instruments. Items for which the fair value option has been elected are presented at fair value in the Consolidated Statements of Financial Condition and any change in fair value is recorded in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). For additional information regarding financial instruments for which the Company has elected the fair value option see the table in the “Financial Instruments” Note. Refer to the “Fair Value Measurements” Note for a complete discussion on the methodology utilized by the Company to estimate the fair value of certain financial instruments. The Company follows fair value guidance in accordance with GAAP to account for its financial instruments and MSRs that are accounted for at fair value. The fair value of a financial instrument and MSR is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. GAAP requires classification of financial instruments and MSRs into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments and MSRs fall within different levels of the hierarchy, the categorization is based on the lowest priority input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value. |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities - The Company elected to present all derivative instruments on a gross basis as discussed in the “Derivative Instruments” Note. Reverse repurchase and repurchase agreements are presented net in the Consolidated Statements of Financial Condition if they are subject to netting agreements and they meet the offsetting criteria. Please see below and refer to the “Secured Financing” Note for further discussion on reverse repurchase and repurchase agreements. |
Derivative Instruments | Derivative Instruments – Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). The changes in the estimated fair value are presented within Net gains (losses) on other derivatives with the exception of interest rate swaps which are separately presented. None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. Refer to the “Derivative Instruments” Note for further discussion. |
Stock Based Compensation | Stock-Based Compensation – The Company measures compensation expense for stock-based awards at fair value, which is generally based on the grant-date fair value of the Company’s common stock. Compensation expense is recognized ratably over the vesting or requisite service period of the award. Compensation expense for awards with performance conditions is recognized based on the probable outcome of the performance condition at each reporting date. Stock-based awards that do not require future service (i.e., vested awards) are expensed immediately. Forfeitures are recorded when they occur. The Company generally issues new shares of common stock upon delivery of stock-based awards. |
Interest Income | Interest Income - The Company recognizes interest income primarily on Residential securities, residential mortgage loans, commercial investments and reverse repurchase agreements. Interest accrued but not paid is recognized as Interest receivable on the Consolidated Statements of Financial Condition. Interest income is presented as a separate line item on the Consolidated Statements of Comprehensive Income. Refer to the “Interest Income and Interest Expense” note for further discussion. For its securities, the Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the financial instruments and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities, multifamily and reverse mortgages), taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date, which results in a cumulative premium amortization adjustment in each period. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period. Premiums or discounts associated with the purchase of Agency interest-only securities, reverse mortgages and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis. Premiums and discounts associated with the purchase of residential mortgage loans and with those transferred or pledged to securitization trusts are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss). If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower. See the Note “Interest Income and Interest Expense” for further discussion on interest. If interest receivable is deemed to be uncollectible or not collected within 90 days of its contractual due date for commercial loans or 120 days for corporate debt carried at amortized cost, it is written off through a reversal of interest income. Any interest written off that is recovered is recognized as interest income. Refer to the “Interest Income and Interest Expense” Note for further discussion of interest income. |
Income Taxes | Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. As a REIT, the Company will not incur federal income tax to the extent that it distributes its taxable income to its stockholders. The Company and certain of its direct and indirect subsidiaries have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon its taxable income. Refer to the “Income Taxes” Note for further discussion on income taxes. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were not applicable, not expected to have a significant impact on the Company’s consolidated financial statements when adopted or did not have a significant impact on the Company’s consolidated financial statements upon adoption. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 2016-13 Financial instruments - Credit losses (Topic 326): Measurement of credit losses on financial instruments (“ASU 2016-13”) This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect cash and cash equivalents, reverse repurchase agreements, certain loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 The Company adopted ASU 2016-13 using the modified retrospective method for all financial assets and off-balance-sheet credit exposures in scope. The modified retrospective approach requires an adjustment to beginning retained earnings for the cumulative effect of adopting the standard. Results for reporting periods beginning after January 1, 2020 are presented in accordance with ASU 2016-13, while prior periods continue to be reported in accordance with previously applicable GAAP. As a result of the adoption, the Company recorded an increase to the loan loss allowance of $37.4 million and a liability of $2.2 million for unfunded loan commitments, which reduced beginning retained earnings by $39.6 million as of January 1, 2020. |
Allowance for Losses | Allowance for Losses – The Company evaluates the need for a loss reserve on each of its loans classified as held-for-investment where the fair value option is not elected. Allowance for loan losses are written off in the period the loans are deemed uncollectible. Given the unique nature of each underlying borrower and any collateral, the Company assesses an allowance for each individual loan held-for-investment. A provision is established at origination or acquisition that reflects management’s estimate of the total expected credit loss over the expected life of the loan. In estimating the lifetime expected credit losses, management utilizes a probability of default and loss given default methodology (“Loss given default methodology”), which considers projected economic conditions over the reasonable and supportable forecast period. The forecast incorporates primarily market-based assumptions including, but not limited to, forward interest rate curves, unemployment rate estimates and certain indexes sourced from third party vendors. For any remaining period of the expected life of the loan after the reasonable and supportable period, the Company reverts to historical losses on a straight-line basis. Management uses third-party vendors’ loan pool data for loans with similar risk characteristics to estimate historical losses given the limited loss history of the Company’s loan portfolio. Changes in the lifetime expected credit loss are reflected in Loan loss provision in the Consolidated Statements of Comprehensive Income (Loss). For loans experiencing credit deterioration, the Company may use a different methodology to determine the expected credit losses such as a discounted cash flow analysis. For collateral-dependent loans, if foreclosure is probable, expected credit losses are based on the fair value of the collateral at the reporting date, adjusted for any selling costs, if applicable. Additionally, the Company may elect the practical expedient for a financial asset for which the repayment is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty by measuring the allowance as the difference between the fair value of the collateral, less costs to sell, if applicable, and the amortized cost basis of the financial asset at the reporting date. The Company’s commercial loans are collateralized by commercial real estate including, but not limited to, multifamily real estate, office and retail space, hotels and industrial space. At origination, the fair value of the collateral generally exceeds the principal loan balance. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the loans as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages, if applicable, and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date. The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics at origination or acquisition of a new investment and if events occur that trigger re-evaluation by management. |
Residential Mortgage Loans | The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. The Company’s residential loans are accounted for under the fair value option with changes in fair value reflected in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Statements of Comprehensive Income. Additionally, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo residential mortgage loans. The Company also consolidates securitization trusts in which it had purchased subordinated securities because it also has certain powers and rights to direct the activities of such trusts. Refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated residential mortgage loan trusts. |
Fair Value of Financial Instruments | The Company designates its securities as trading, available-for-sale or held-to-maturity depending upon the type of security and the Company’s intent and ability to hold such security to maturity. Securities classified as available-for-sale and trading are reported at fair value on a recurring basis. The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level. Futures contracts are valued using quoted prices for identical instruments in active markets and are classified as Level 1. Residential Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities. Residential Securities, residential mortgage loans, interest rate swap and swaption markets, TBA derivatives and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. The fair value of commercial mortgage-backed securities classified as available-for-sale is determined based upon quoted prices of similar assets in recent market transactions and requires the application of judgment due to differences in the underlying collateral. Consequently, commercial real estate debt investments carried at fair value are classified as Level 2. For the fair value of debt issued by securitization vehicles, refer to the Note titled “Variable Interest Entities” for additional information. |
Goodwill and Intangible Assets | The Company’s acquisitions are accounted for using the acquisition method if the acquisition is deemed to be a business. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of the purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain. The Company tests goodwill for impairment on an annual basis or more frequently when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit |
Secured Financing | Reverse Repurchase and Repurchase Agreements – The Company finances a significant portion of its assets with repurchase agreements. At the inception of each transaction, the Company assessed each of the specified criteria in ASC 860, Transfers and Servicing , and has determined that each of the financing agreements meet the specified criteria in this guidance. The Company enters into reverse repurchase agreements to earn a yield on excess cash balances. The Company obtains collateral in connection with the reverse repurchase agreements in order to mitigate credit risk exposure to its counterparties. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the Consolidated Statements of Cash Flows. |
Contingencies | Contingencies |
DESCRIPTION OF BUSINESS (Tables
DESCRIPTION OF BUSINESS (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Schedule of Investment Groups | The Company’s four investment groups are primarily comprised of the following: Investment Groups Description Annaly Agency Group Invests in Agency mortgage-backed securities (“MBS”) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Annaly Residential Credit Group Invests primarily in non-Agency residential mortgage assets within securitized products and residential mortgage loan markets. Annaly Commercial Real Estate Group Originates and invests in commercial mortgage loans, securities, and other commercial real estate debt and equity investments. Annaly Middle Market Lending Group Provides debt financing to private equity-backed middle market businesses across the capital structure. |
SIGNIFICANT ACCOUNTING POLICI_3
SIGNIFICANT ACCOUNTING POLICIES (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Recent Accounting Pronouncements | Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters Standards that were adopted ASU 2016-13 Financial instruments - Credit losses (Topic 326): Measurement of credit losses on financial instruments (“ASU 2016-13”) This ASU updates the existing incurred loss model to a current expected credit loss (“CECL”) model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect cash and cash equivalents, reverse repurchase agreements, certain loans, held-to-maturity debt securities, trade receivables, net investments in leases, off-balance sheet credit exposures and any other financial assets not excluded from the scope. There are also limited amendments to the impairment model for available-for-sale debt securities. January 1, 2020 The Company adopted ASU 2016-13 using the modified retrospective method for all financial assets and off-balance-sheet credit exposures in scope. The modified retrospective approach requires an adjustment to beginning retained earnings for the cumulative effect of adopting the standard. Results for reporting periods beginning after January 1, 2020 are presented in accordance with ASU 2016-13, while prior periods continue to be reported in accordance with previously applicable GAAP. As a result of the adoption, the Company recorded an increase to the loan loss allowance of $37.4 million and a liability of $2.2 million for unfunded loan commitments, which reduced beginning retained earnings by $39.6 million as of January 1, 2020. |
FINANCIAL INSTRUMENTS (Tables)
FINANCIAL INSTRUMENTS (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Investments, All Other Investments [Abstract] | |
Schedule of Characteristics of Financial Instruments | The following table presents characteristics for certain of the Company’s financial instruments at March 31, 2020 and December 31, 2019 . Financial Instruments (1) Balance Sheet Line Item Type / Form Measurement Basis March 31, 2020 December 31, 2019 Assets (dollars in thousands) Securities Agency mortgage-backed securities (2) Fair value, with unrealized gains (losses) through other comprehensive income $ 77,869,157 $ 112,124,958 Securities Agency mortgage-backed securities (3) Fair value, with unrealized gains (losses) through earnings 587,689 768,409 Securities Credit risk transfer securities Fair value, with unrealized gains (losses) through earnings 222,871 531,322 Securities Non-agency mortgage-backed securities Fair value, with unrealized gains (losses) through earnings 585,954 1,135,868 Securities Commercial real estate debt investments - CMBS Fair value, with unrealized gains (losses) through other comprehensive income 50,745 64,655 Securities Commercial real estate debt investments - CMBS (4) Fair value, with unrealized gains (losses) through earnings 41,180 208,368 Total securities 79,357,596 114,833,580 Loans, net Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 1,268,083 1,647,787 Loans, net Commercial real estate debt and preferred equity, held for investment Amortized cost 649,843 669,713 Loans, net Corporate debt held for investment, net Amortized cost 2,150,263 2,144,850 Total loans, net 4,068,189 4,462,350 Assets transferred or pledged to securitization vehicles Agency mortgage-backed securities Fair value, with unrealized gains (losses) through other comprehensive income 1,803,608 1,122,588 Assets transferred or pledged to securitization vehicles Residential mortgage loans Fair value, with unrealized gains (losses) through earnings 3,027,188 2,598,374 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Fair value, with unrealized gains (losses) through earnings 1,927,575 2,345,120 Assets transferred or pledged to securitization vehicles Commercial mortgage loans Amortized cost 913,291 936,378 Total assets transferred or pledged to securitization vehicles 7,671,662 7,002,460 Liabilities Repurchase agreements Repurchase agreements Amortized cost 72,580,183 101,740,728 Other secured financing Loans Amortized cost 1,805,428 4,455,700 Debt issued by securitization vehicles Securities Fair value, with unrealized gains (losses) through earnings 6,364,949 5,622,801 Mortgages payable Loans Amortized cost 484,762 485,005 (1) Receivable for unsettled trades, Principal and interest receivable, Payable for unsettled trades, Interest payable and Dividends payable are accounted for at cost. (2) Includes Agency pass-through, collateralized mortgage obligation (“CMO”) and multifamily securities. (3) Includes interest-only securities and reverse mortgages. (4) Includes conduit and credit CMBS. |
SECURITIES (Tables)
SECURITIES (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Rollforward of Company's Securities | The following represents a rollforward of the activity for the Company’s securities, excluding securities transferred or pledged to securitization vehicles, for the three months ended March 31, 2020 : Residential Securities Commercial Securities Total (dollars in thousands) Beginning balance January 1, 2020 $ 114,560,557 $ 273,023 $ 114,833,580 Purchases 11,925,383 — 11,925,383 Sales and transfers (1) (42,179,748 ) (153,709 ) (42,333,457 ) Principal paydowns (4,885,921 ) (4,933 ) (4,890,854 ) (Amortization) / accretion (616,974 ) 127 (616,847 ) Fair value adjustment 462,374 (22,583 ) 439,791 Ending balance March 31, 2020 $ 79,265,671 $ 91,925 $ 79,357,596 (1) Includes transfers to securitization vehicles. |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the Company’s securities portfolio, excluding securities transferred or pledged to securitization vehicles, that was carried at their fair value at March 31, 2020 and December 31, 2019 : March 31, 2020 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 69,788,774 $ 3,167,897 $ (27,245 ) $ 72,929,426 $ 2,798,718 $ (234 ) $ 75,727,910 Adjustable-rate pass-through 609,737 9,043 (2,404 ) 616,376 16,817 (1,757 ) 631,436 CMO 153,405 2,436 — 155,841 4,749 — 160,590 Interest-only 3,593,033 684,208 — 684,208 3,170 (157,742 ) 529,636 Multifamily 1,266,927 17,490 (1,133 ) 1,283,284 67,345 (1,408 ) 1,349,221 Reverse mortgages 53,739 4,828 — 58,567 18 (532 ) 58,053 Total agency securities $ 75,465,615 $ 3,885,902 $ (30,782 ) $ 75,727,702 $ 2,890,817 $ (161,673 ) $ 78,456,846 Residential credit CRT (1) $ 470,229 $ 10,811 $ (1,325 ) $ 464,790 $ — $ (241,919 ) $ 222,871 Alt-A 108,312 52 (20,861 ) 87,503 723 (11,966 ) 76,260 Prime 230,056 4,451 (15,780 ) 218,727 3,008 (13,099 ) 208,636 Prime interest-only 332,185 3,387 — 3,387 — (1,114 ) 2,273 Subprime 160,887 100 (25,138 ) 135,849 1,125 (7,931 ) 129,043 NPL/RPL 132,603 321 (352 ) 132,572 — (26,489 ) 106,083 Prime jumbo (>=2010 vintage) 65,787 — (4,200 ) 61,587 532 (3,454 ) 58,665 Prime jumbo (>=2010 vintage) Interest-only 512,838 8,563 — 8,563 — (3,569 ) 4,994 Total residential credit securities $ 2,012,897 $ 27,685 $ (67,656 ) $ 1,112,978 $ 5,388 $ (309,541 ) $ 808,825 Total Residential Securities $ 77,478,512 $ 3,913,587 $ (98,438 ) $ 76,840,680 $ 2,896,205 $ (471,214 ) $ 79,265,671 Commercial Commercial Securities $ 114,552 $ 280 $ (7,902 ) $ 106,930 $ — $ (15,005 ) $ 91,925 Total securities $ 77,593,064 $ 3,913,867 $ (106,340 ) $ 76,947,610 $ 2,896,205 $ (486,219 ) $ 79,357,596 December 31, 2019 Principal / Remaining Premium Remaining Discount Amortized Unrealized Unrealized Estimated Fair Value Agency (dollars in thousands) Fixed-rate pass-through $ 102,448,565 $ 4,345,053 $ (46,614 ) $ 106,747,004 $ 2,071,583 $ (95,173 ) $ 108,723,414 Adjustable-rate pass-through 1,474,818 72,245 (1,400 ) 1,545,663 10,184 (31,516 ) 1,524,331 CMO 156,937 2,534 — 159,471 545 — 160,016 Interest-only 4,486,845 862,905 — 862,905 2,787 (157,130 ) 708,562 Multifamily 1,619,900 19,981 (2,280 ) 1,637,601 82,292 (2,696 ) 1,717,197 Reverse mortgages 54,553 5,053 — 59,606 550 (309 ) 59,847 Total agency investments $ 110,241,618 $ 5,307,771 $ (50,294 ) $ 111,012,250 $ 2,167,941 $ (286,824 ) $ 112,893,367 Residential credit CRT (1) $ 517,110 $ 15,850 $ (2,085 ) $ 515,950 $ 16,605 $ (1,233 ) $ 531,322 Alt-A 160,957 250 (22,306 ) 138,901 12,482 — 151,383 Prime 277,076 3,362 (17,794 ) 262,644 14,142 (529 ) 276,257 Prime interest-only 391,234 3,757 — 3,757 — (590 ) 3,167 Subprime 370,263 1,356 (59,727 ) 311,892 37,205 (118 ) 348,979 NPL/RPL 164,180 351 (440 ) 164,091 191 (14 ) 164,268 Prime jumbo (>=2010 vintage) 182,709 1,026 (4,281 ) 179,454 5,360 (150 ) 184,664 Prime jumbo (>=2010 vintage) Interest-only 554,189 9,001 — 9,001 — (1,851 ) 7,150 Total residential credit securities $ 2,617,718 $ 34,953 $ (106,633 ) $ 1,585,690 $ 85,985 $ (4,485 ) $ 1,667,190 Total Residential Securities $ 112,859,336 $ 5,342,724 $ (156,927 ) $ 112,597,940 $ 2,253,926 $ (291,309 ) $ 114,560,557 Commercial Commercial Securities $ 263,965 $ 10,873 $ (9,393 ) $ 265,445 $ 7,710 $ (132 ) $ 273,023 Total securities $ 113,123,301 $ 5,353,597 $ (166,320 ) $ 112,863,385 $ 2,261,636 $ (291,441 ) $ 114,833,580 (1) Principal/Notional amount includes $14.9 million of a CRT interest-only security as of March 31, 2020 and December 31, 2019 . |
Types of Agency Mortgage Backed Securities | The following table presents the Company’s Agency mortgage-backed securities portfolio, excluding securities transferred or pledged to securitization vehicles, by issuing Agency at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 Investment Type (dollars in thousands) Fannie Mae $ 53,793,047 $ 76,656,831 Freddie Mac 24,524,333 36,087,100 Ginnie Mae 139,466 149,436 Total $ 78,456,846 $ 112,893,367 |
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification | The following table summarizes the Company’s Residential Securities, excluding securities transferred or pledged to securitization vehicles, at March 31, 2020 and December 31, 2019 , according to their estimated weighted average life classifications: March 31, 2020 December 31, 2019 Estimated Fair Value Amortized Estimated Fair Value Amortized Estimated weighted average life (dollars in thousands) Less than one year $ 11,969 $ 12,185 $ 3,997 $ 4,543 Greater than one year through five years 58,521,294 56,615,526 36,290,254 35,581,833 Greater than five years through ten years 20,265,852 19,706,235 77,732,756 76,504,845 Greater than ten years 466,556 506,734 533,550 506,719 Total $ 79,265,671 $ 76,840,680 $ 114,560,557 $ 112,597,940 |
Schedule of Continuous Unrealized Loss Position | The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities, accounted for as available-for-sale where the fair value option has not been elected, by length of time that such securities have been in a continuous unrealized loss position at March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) Estimated Fair Value (1) Gross Unrealized Losses (1) Number of Securities (1) (dollars in thousands) Less than 12 months $ 167,223 $ (1,666 ) 12 $ 7,388,239 $ (24,056 ) 139 12 Months or more 122,974 (1,733 ) 10 11,619,280 (105,329 ) 352 Total $ 290,197 $ (3,399 ) 22 $ 19,007,519 $ (129,385 ) 491 (1) Excludes interest-only mortgage-backed securities and reverse mortgages. |
Schedule of Realized Gain (Loss) | March 31, 2020 December 31, 2019 Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) Gross Realized Gains Gross Realized Losses Net Realized Gains (Losses) (dollars in thousands) Residential Securities $ 539,255 $ (271,998 ) $ 267,257 $ 2,526 $ (95,040 ) $ (92,514 ) |
LOANS (Tables)
LOANS (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Loan Investment Activity | The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles, for the three months ended March 31, 2020 : Residential Commercial Corporate Debt Total (dollars in thousands) Beginning balance January 1, 2020 $ 1,647,787 $ 669,713 $ 2,144,850 $ 4,462,350 Impact of adopting CECL — (3,600 ) (29,653 ) (33,253 ) Purchases / originations 642,795 173,517 387,082 1,203,394 Sales and transfers (1) (922,773 ) (95,730 ) (275,845 ) (1,294,348 ) Principal payments (41,732 ) (38,425 ) (54,465 ) (134,622 ) Gains / (losses) (2) (56,082 ) (56,475 ) (24,026 ) (136,583 ) (Amortization) / accretion (1,912 ) 843 2,320 1,251 Ending balance March 31, 2020 $ 1,268,083 $ 649,843 $ 2,150,263 $ 4,068,189 (1) Includes securitizations, syndications and transfers to securitization vehicles. (2) Includes loan loss allowances. |
Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio | The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 (dollars in thousands) Fair value $ 4,295,271 $ 4,246,161 Unpaid principal balance $ 4,372,834 $ 4,133,149 |
Summary of Comprehensive Income (Loss) | The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three months ended March 31, 2020 and 2019 for these investments: For the Three Months Ended March 31, 2020 March 31, 2019 (dollars in thousands) Interest income $ 47,557 $ 29,991 Net gains (losses) on disposal of investments and other (12,000 ) (5,223 ) Net unrealized gains (losses) on instruments measured at fair value through earnings (192,763 ) 17,821 Total included in net income (loss) $ (157,206 ) $ 42,589 |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2020 and December 31, 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans March 31, 2020 December 31, 2019 Property location % of Balance Property location % of Balance California 51.5% California 52.1% New York 10.9% New York 10.5% Florida 5.3% Florida 5.3% All other (none individually greater than 5%) 32.3% All other (none individually greater than 5%) 32.1% Total 100.0% 100.0% The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs, OBX Trusts and CLO, at March 31, 2020 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Commercial Trusts Residential Trusts Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) California $ 1,270,649 38.7 % California $ 30,536 44.9 % Texas 479,164 14.6 % Texas 9,618 14.1 % New York 370,697 11.3 % Illinois 7,009 10.3 % Florida 196,495 6.0 % Washington 3,847 5.7 % Other (1) 969,240 29.4 % Other (1) 17,033 25.0 % Total $ 3,286,245 100.0 % Total $ 68,043 100.0 % (1) No individual state greater than 5% . |
Residential Mortgage Loans | The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 Portfolio Range Portfolio Weighted Portfolio Range Portfolio Weighted Average (dollars in thousands) Unpaid principal balance $0 - $3,448 $451 $1 - $3,448 $459 Interest rate 2.00% - 8.75% 4.89% 2.00% - 8.38% 4.94% Maturity 1/1/2028 - 2/1/2060 4/12/2048 1/1/2028 - 12/1/2059 12/29/2047 FICO score at loan origination 505 - 829 759 505 - 829 758 Loan-to-value ratio at loan origination 8% - 105% 67% 8% - 105% 67% |
Schedule of Commercial Mortgage Loans Held for Investment | The sector attributes of the Company’s commercial real estate investments held for investment at March 31, 2020 and December 31, 2019 were as follows: Sector Dispersion March 31, 2020 December 31, 2019 Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio (dollars in thousands) Office $ 673,947 43.1 % $ 681,129 42.4 % Retail 348,045 22.3 % 389,076 24.2 % Multifamily 283,698 18.1 % 262,302 16.3 % Hotel 125,870 8.1 % 135,681 8.4 % Industrial 79,882 5.1 % 82,441 5.1 % Other 32,534 2.1 % 36,589 2.3 % Healthcare 19,158 1.2 % 18,873 1.3 % Total $ 1,563,134 100.0 % $ 1,606,091 100.0 % At March 31, 2020 and December 31, 2019 , commercial real estate investments held for investment were comprised of the following: March 31, 2020 December 31, 2019 Outstanding Principal Carrying (1) Percentage (2) Outstanding Principal Carrying (1) Percentage (2) (dollars in thousands) Senior mortgages $ 532,125 $ 519,387 32.1 % $ 503,499 $ 499,690 30.9 % Senior securitized mortgages (3) 940,245 913,291 56.6 % 940,546 936,378 57.8 % Mezzanine loans 187,693 130,456 11.3 % 183,064 170,023 11.3 % Total $ 1,660,063 $ 1,563,134 100.0 % $ 1,627,109 $ 1,606,091 100.0 % (1) Carrying value includes unamortized origination fees of $8.2 million and $8.3 million at March 31, 2020 and December 31, 2019 , respectively. (2) Based on outstanding principal. (3) Represents assets of consolidated VIEs. The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at March 31, 2020 and December 31, 2019 : March 31, 2020 Senior Senior (1) Mezzanine Total (dollars in thousands) Beginning balance (January 1, 2020) (2) $ 499,690 $ 936,378 $ 182,726 $ 1,618,794 Originations & advances (principal) 162,781 — 11,628 174,409 Principal payments (38,425 ) (53,533 ) — (91,958 ) Principal write off — — (7,000 ) (7,000 ) Transfers (95,730 ) 52,630 — (43,100 ) Net (increase) decrease in origination fees (812 ) — (80 ) (892 ) Realized gain 204 — — 204 Amortization of net origination fees 797 602 46 1,445 Allowance for loan losses Beginning allowance, prior to CECL adoption — — (12,703 ) (12,703 ) Impact of adopting CECL (2,264 ) (4,166 ) (1,336 ) (7,766 ) Current period allowance (6,854 ) (18,620 ) (49,825 ) (75,299 ) Write offs — — 7,000 7,000 Ending allowance (9,118 ) (22,786 ) (56,864 ) (88,768 ) Net carrying value (March 31, 2020) $ 519,387 $ 913,291 $ 130,456 $ 1,563,134 December 31, 2019 Senior Senior (1) Mezzanine Total (dollars in thousands) Net carrying value (January 1, 2019) $ 981,202 $ — $ 315,601 $ 1,296,803 Originations & advances (principal) 572,204 — 21,709 593,913 Principal payments (16,785 ) (150,245 ) (149,633 ) (316,663 ) Transfers (1,034,754 ) 1,083,487 (8,675 ) 40,058 Net (increase) decrease in origination fees (4,200 ) — (184 ) (4,384 ) Amortization of net origination fees 2,023 3,136 412 5,571 Net (increase) decrease in allowance — — (9,207 ) (9,207 ) Net carrying value (December 31, 2019) $ 499,690 $ 936,378 $ 170,023 $ 1,606,091 (1) Represents assets of consolidated VIEs. (2) Excludes loan loss allowances. |
Commercial Real Estate, Held for Investments, Amortized Cost Basis by Risk Rating and Vintage | The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of March 31, 2020 . Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2020 2019 2018 2017 2016 Prior (dollars in thousands) 1-4 / Performing $ 446,226 $ 89,647 $ 159,384 $ 103,547 $ 12,444 $ — $ 81,204 5 / Performing - Closely Monitored 501,717 31,657 265,728 29,432 105,893 69,007 — 6 / Performing - Special Mention 431,515 27,110 122,133 212,015 — — 70,257 7 / Substandard 85,390 — — 30,390 55,000 — — 8 / Doubtful 98,286 — — 33,460 64,826 — — 9 / Loss (2) — — — — — — — Total $ 1,563,134 $ 148,414 $ 547,245 $ 408,844 $ 238,163 $ 69,007 $ 151,461 (1) The amortized cost basis excludes accrued interest. As of March 31, 2020, the Company had $4.6 million of accrued interest receivable on commercial loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition. (2) Includes one commercial mezzanine loan for which the Company recorded a full loan loss allowance of $36.6 million . |
Schedule of Industry and Rate Attributes of The Portfolio | The industry and rate attributes of the portfolio at March 31, 2020 and December 31, 2019 are as follows: Industry Dispersion March 31, 2020 December 31, 2019 Fixed Rate Floating Rate Total Fixed Rate Floating Rate Total (dollars in thousands) Computer Programming, Data Processing & Other Computer Related Services — 391,559 391,559 — 394,193 394,193 Management & Public Relations Services — 288,586 288,586 — 339,179 339,179 Chemical & Chemical Preparations — 145,446 145,446 — — — Miscellaneous Business Services — 122,275 122,275 — 164,033 164,033 Public Warehousing & Storage — 119,577 119,577 — 107,029 107,029 Engineering, Architectural, and Surveying — 113,496 113,496 — 124,201 124,201 Metal Cans & Shipping Containers — 108,266 108,266 — 118,456 118,456 Offices & Clinics of Doctors of Medicine — 104,919 104,919 — 106,993 106,993 Surgical, Medical & Dental Instruments & Supplies — 100,791 100,791 — 102,182 102,182 Insurance Agents, Brokers and Service — 74,013 74,013 — 75,410 75,410 Telephone Communications — 57,508 57,508 — 61,210 61,210 Miscellaneous Health & Allied Services, not elsewhere classified — 50,327 50,327 — 78,908 78,908 Miscellaneous Equipment Rental & Leasing — 49,423 49,423 — 49,776 49,776 Electric Work — 44,442 44,442 — 43,175 43,175 Medical & Dental Laboratories — 35,465 35,465 — 41,344 41,344 Nonferrous Foundries (Castings) — 31,903 31,903 — 30,191 30,191 Research, Development & Testing Services — 29,796 29,796 — 45,610 45,610 Coating, Engraving and Allied Services — 29,323 29,323 — 47,249 47,249 Home Health Care Services — 28,537 28,537 — 29,361 29,361 Motor Vehicles and Motor Vehicle Parts & Supplies — 28,464 28,464 — 28,815 28,815 Legal Services — 28,079 28,079 — — — Petroleum and Petroleum Products — 24,834 24,834 — 24,923 24,923 Electronic Components & Accessories — 23,266 23,266 — 24,000 24,000 Grocery Stores — 22,987 22,987 — 23,248 23,248 Schools & Educational Services, not elsewhere classified — 19,376 19,376 — 19,586 19,586 Drugs — 15,881 15,881 — 15,923 15,923 Chemicals & Allied Products — 14,868 14,868 — 15,002 15,002 Mailing, Reproduction, Commercial Art and Photography, and Stenographic — 14,528 14,528 — 14,755 14,755 Transportation, Equipment & Supplies (Except Motor Vehicles) — 12,468 12,468 — — — Offices and Clinics of Other Health Practitioners — 10,110 10,110 — 10,098 10,098 Miscellaneous Plastic Products — 9,750 9,750 — 10,000 10,000 Total $ — $ 2,150,263 $ 2,150,263 $ — $ 2,144,850 $ 2,144,850 |
Aggregate Positions by Respective Place in the Capital Structure of the Borrowers | The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 (dollars in thousands) First lien loans $ 1,496,887 $ 1,396,140 Second lien loans 653,376 748,710 Total $ 2,150,263 $ 2,144,850 |
Schedule of Corporate Loans Held for Investment | The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at March 31, 2020 and December 31, 2019: March 31, 2020 First Lien Second Lien Total (dollars in thousands) Beginning balance (January 1, 2020) (1) $ 1,403,503 $ 748,710 $ 2,152,213 Originations & advances 387,082 — 387,082 Principal payments (28,567 ) (25,898 ) (54,465 ) Amortization & accretion of (premium) discounts 1,430 890 2,320 Loan restructuring (19,550 ) 2,818 (16,732 ) Sales (223,625 ) (47,382 ) (271,007 ) Allowance for loan losses — Beginning allowance, prior to CECL adoption (7,363 ) — (7,363 ) Impact of adopting CECL (10,787 ) (18,866 ) (29,653 ) Current period allowance (17,130 ) (6,896 ) (24,026 ) Write offs 11,894 — 11,894 Ending allowance (23,386 ) (25,762 ) (49,148 ) Net carrying value (March 31, 2020) $ 1,496,887 $ 653,376 $ 2,150,263 (1) Excludes loan loss allowances. December 31, 2019 First Lien Second Lien Total (dollars in thousands) Net carrying value (January 1, 2019) $ 1,346,356 $ 540,826 $ 1,887,182 Originations & advances 542,463 345,573 888,036 Principal payments (228,302 ) (140,625 ) (368,927 ) Amortization & accretion of (premium) discounts 5,960 2,936 8,896 Sales (262,974 ) — (262,974 ) Net (increase) decrease in allowance (7,363 ) — (7,363 ) Net carrying value (December 31, 2019) $ 1,396,140 $ 748,710 $ 2,144,850 |
Debt Securities, Held-to-maturity, Amortized Costs Basis by Risk Rating and Vintage | The following table provides the amortized cost basis of corporate debt held for investment as of March 31, 2020 by vintage year and internal risk rating. Amortized Cost Basis by Risk Rating and Vintage (1) Risk Rating Vintage Total 2020 2019 2018 2017 2016 2015 Revolvers (dollars in thousands) 1-4 / Performing $ 826,447 $ 22,285 $ 319,686 $ 286,358 $ 158,446 $ 29,957 $ — $ 9,715 5 / Performing - Closely Monitored 966,454 233,623 257,888 325,885 100,588 21,932 14,198 12,340 6 / Performing - Special Mention 138,129 — 53,671 17,441 30,904 — 34,037 2,076 7 / Substandard 215,372 — 2,933 149,167 40,285 22,987 — — 8 / Doubtful 4,297 — — 4,297 — — — — 9 / Loss — — — — — — — — Total $ 2,150,699 $ 255,908 $ 634,178 $ 783,148 $ 330,223 $ 74,876 $ 48,235 $ 24,131 (1) The amortized cost basis excludes accrued interest and costs related to unfunded loans. As of March 31, 2020, the Company had $9.9 million of accrued interest receivable on corporate loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition. |
MORTGAGE SERVICING RIGHTS (Tabl
MORTGAGE SERVICING RIGHTS (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Transfers and Servicing [Abstract] | |
Presentation of Activity Related to MSR | The following table presents activity related to MSRs for the three months ended March 31, 2020 and 2019 : Three Months Ended March 31, 2020 March 31, 2019 (dollars in thousands) Fair value, beginning of period $ 378,078 $ 557,813 Change in fair value due to: Changes in valuation inputs or assumptions (1) (79,224 ) (43,089 ) Other changes, including realization of expected cash flows (18,296 ) (13,979 ) Fair value, end of period $ 280,558 $ 500,745 (1) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. |
VARIABLE INTEREST ENTITIES (Tab
VARIABLE INTEREST ENTITIES (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Fair Value of OBX Trusts | The entities in the table below are referred to collectively as the “OBX Trusts.” These securitizations represent financing transactions which provide non-recourse financing to the Company that are collateralized by residential mortgage loans purchased by the Company. Securitization Date of Closing Face Value at Closing (dollars in thousands) OBX 2018-1 March 2018 $ 327,162 OBX 2018-EXP1 August 2018 $ 383,451 OBX 2018-EXP2 October 2018 $ 384,027 OBX 2019-INV1 January 2019 $ 393,961 OBX 2019-EXP1 April 2019 $ 388,156 OBX 2019-INV2 June 2019 $ 383,760 OBX 2019-EXP2 July 2019 $ 463,405 OBX 2019-EXP3 October 2019 $ 465,492 OBX 2020-INV1 January 2020 $ 374,609 OBX 2020-EXP1 February 2020 $ 467,511 Type of Underlying Collateral Settlement Date Cut-off Date Principal Balance Face Value of Company’s Variable Interest at Settlement Date (dollars in thousands) Multifamily April 2015 $ 1,192,607 $ 89,446 Hotels June 2018 $ 982,000 $ 93,500 Multifamily August 2019 $ 271,700 $ 20,270 Office Building October 2019 $ 60,000 $ 60,000 Multifamily October 2019 $ 415,000 $ 75,359 Multifamily December 2019 $ 394,000 $ 110,350 |
Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition | The statements of financial condition of the Company’s VIEs, excluding the CLO, credit facility VIEs and OBX Trusts as the transfers of loans did not meet the criteria to be accounted for as sales, that are reflected in the Company’s Consolidated Statements of Financial Condition at March 31, 2020 and December 31, 2019 are as follows: March 31, 2020 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 74,117 Loans — — 57,777 Assets transferred or pledged to securitization vehicles 1,927,576 68,413 — Mortgage servicing rights — — 280,558 Principal and interest receivable 6,132 365 — Other assets — — 29,837 Total assets $ 1,933,708 $ 68,778 $ 442,289 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,637,505 $ 49,825 $ — Other secured financing — — 36,751 Payable for unsettled trades — — 15,123 Interest payable 2,202 121 — Other liabilities — 89 2,226 Total liabilities $ 1,639,707 $ 50,035 $ 54,100 December 31, 2019 Commercial Trusts Residential Trusts MSR Silo Assets (dollars in thousands) Cash and cash equivalents $ — $ — $ 67,455 Loans — — 66,722 Assets transferred or pledged to securitization vehicles 2,345,120 75,924 — Mortgage servicing rights — — 378,078 Principal and interest receivable 7,085 408 — Other assets — — 27,021 Total assets $ 2,352,205 $ 76,332 $ 539,276 Liabilities Debt issued by securitization vehicles (non-recourse) $ 1,967,523 $ 57,905 $ — Other secured financing — — 38,981 Payable for unsettled trades — — 18,364 Interest payable 3,008 137 — Other liabilities — 78 2,393 Total liabilities $ 1,970,531 $ 58,120 $ 59,738 |
Geographic Concentrations Based on Unpaid Principal Balances | The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2020 and December 31, 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles: Geographic Concentrations of Residential Mortgage Loans March 31, 2020 December 31, 2019 Property location % of Balance Property location % of Balance California 51.5% California 52.1% New York 10.9% New York 10.5% Florida 5.3% Florida 5.3% All other (none individually greater than 5%) 32.3% All other (none individually greater than 5%) 32.1% Total 100.0% 100.0% The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the credit facility VIEs, OBX Trusts and CLO, at March 31, 2020 are as follows: Securitized Loans at Fair Value Geographic Concentration of Credit Risk Commercial Trusts Residential Trusts Property Location Principal Balance % of Balance Property Location Principal Balance % of Balance (dollars in thousands) California $ 1,270,649 38.7 % California $ 30,536 44.9 % Texas 479,164 14.6 % Texas 9,618 14.1 % New York 370,697 11.3 % Illinois 7,009 10.3 % Florida 196,495 6.0 % Washington 3,847 5.7 % Other (1) 969,240 29.4 % Other (1) 17,033 25.0 % Total $ 3,286,245 100.0 % Total $ 68,043 100.0 % (1) No individual state greater than 5% . |
REAL ESTATE (Tables)
REAL ESTATE (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Real Estate Properties Base Purchase Price [Abstract] | |
Schedule of Useful Lives of Investments in Commercial Real Estate | Real estate investments are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows: Category Term Building and building improvements 1 - 44 years Furniture and fixtures 1 - 4 years |
Summary of Real Estate | March 31, 2020 December 31, 2019 Real estate, net (dollars in thousands) Land $ 134,206 $ 121,720 Buildings and improvements 595,149 571,396 Furniture, fixtures and equipment 11,336 11,238 Subtotal 740,691 704,354 Less: accumulated depreciation (92,772 ) (87,532 ) Total real estate held for investment, at amortized cost, net 647,919 616,822 Equity in unconsolidated joint ventures 103,819 108,816 Total real estate, net $ 751,738 $ 725,638 |
Minimum Future Rentals on Non-cancelable Leases | Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at March 31, 2020 for consolidated investments in real estate are as follows: March 31, 2020 (dollars in thousands) 2020 (remaining) $ 36,967 2021 47,136 2022 43,303 2023 40,605 2024 36,683 Later years 182,098 Total $ 386,792 |
DERIVATIVE INSTRUMENTS (Tables)
DERIVATIVE INSTRUMENTS (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Summarizes Fair Value Information about Derivative Assets Liabilities | The table below summarizes fair value information about our derivative assets and liabilities at March 31, 2020 and December 31, 2019 : Derivatives Instruments March 31, 2020 December 31, 2019 Assets (dollars in thousands) Interest rate swaps $ — $ 1,199 Interest rate swaptions 58,468 11,580 TBA derivatives 180,307 15,181 Futures contracts — 77,889 Purchase commitments 1 2,050 Credit derivatives (1) — 5,657 $ 238,776 $ 113,556 Liabilities Interest rate swaps $ 1,244,309 $ 706,862 TBA derivatives 15,747 11,316 Futures contracts — 84,781 Purchase commitments 9,666 907 Credit derivatives (1) 61,466 — $ 1,331,188 $ 803,866 (1) The notional amount of the credit derivatives in which the Company purchased protection was $0.0 and $10.0 million at March 31, 2020 and December 31, 2019 , respectively. The maximum potential amount of future payments is the notional amount of credit derivatives in which the Company sold protection of $525.0 million and $345.0 million at March 31, 2020 and December 31, 2019 , respectively, plus any coupon shortfalls on the underlying tranche. The credit derivative tranches referencing the basket of bonds had a range of ratings between AAA and BBB-. |
Summary of Certain Characteristics of Derivatives | The following table summarizes certain characteristics of the Company’s interest rate swaps at March 31, 2020 and December 31, 2019 : March 31, 2020 Maturity Current Notional (1)(2) Weighted Average Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity (3) (dollars in thousands) 0 - 3 years $ 1,459,400 1.41 % 1.03 % 2.98 3 - 6 years 1,310,400 1.47 % 0.93 % 2.97 6 - 10 years 7,949,500 1.91 % 1.56 % 8.73 Greater than 10 years 2,249,000 3.42 % 1.21 % 17.54 Total / Weighted average $ 12,968,300 1.63 % 1.16 % 9.03 December 31, 2019 Maturity Current Notional (1)(2) Weighted Average Weighted Average Receive Rate Weighted Average Years to Maturity (dollars in thousands) 0 - 3 years $ 38,942,400 1.60 % 1.84 % 1.29 3 - 6 years 16,097,450 1.77 % 1.87 % 4.30 6 - 10 years 16,176,500 2.20 % 2.02 % 9.00 Greater than 10 years 2,930,000 3.76 % 1.86 % 17.88 Total / Weighted average $ 74,146,350 1.84 % 1.89 % 4.23 (1) As of March 31, 2020 , 31% , 64% and 5% of the Company’s interest rate swaps were linked to LIBOR, the Federal funds rate and the Secured Overnight Financing Rate, respectively. As of December 31, 2019 , 75% and 25% of the Company’s interest rate swaps were linked to LIBOR and the overnight index swap rate, respectively. (2) There were no forward starting swaps at March 31, 2020 and December 31, 2019 . (3) As of March 31, 2020 , the weighted average years to maturity of payer interest rate swaps is offset by the weighted average years to maturity of receiver interest rate swaps. As such, the net weighted average years to maturity for each maturity bucket may fall outside of the range listed. The following table presents swaptions outstanding at March 31, 2020 and December 31, 2019 . March 31, 2020 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $3,675,000 2.54% 3M LIBOR 9.40 2.41 Long receive $750,000 1.50% 3M LIBOR 10.42 4.88 December 31, 2019 Current Underlying Notional Weighted Average Underlying Fixed Rate Weighted Average Underlying Floating Rate Weighted Average Underlying Years to Maturity Weighted Average Months to Expiration (dollars in thousands) Long pay $4,675,000 2.53% 3M LIBOR 9.22 4.66 Long receive $2,000,000 1.49% 3M LIBOR 10.29 3.40 The following table summarizes certain characteristics of the Company’s TBA derivatives at March 31, 2020 and December 31, 2019 : March 31, 2020 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 12,581,000 $ 12,951,197 $ 13,115,757 $ 164,560 Net TBA derivatives $ 12,581,000 $ 12,951,197 $ 13,115,757 $ 164,560 December 31, 2019 Purchase and sale contracts for derivative TBAs Notional Implied Cost Basis Implied Market Value Net Carrying Value (dollars in thousands) Purchase contracts $ 10,043,000 $ 10,182,891 $ 10,192,038 $ 9,147 Sale contracts (3,144,000 ) (3,294,486 ) (3,299,768 ) (5,282 ) Net TBA derivatives $ 6,899,000 $ 6,888,405 $ 6,892,270 $ 3,865 The following table summarizes certain characteristics of the Company’s futures derivatives at December 31, 2019 . There were no futures derivatives at March 31, 2020 : December 31, 2019 Notional - Long Notional - Short Weighted Average (dollars in thousands) U.S. Treasury futures - 2 year $ — $ (180,000 ) 1.96 U.S. Treasury futures - 5 year — (2,953,300 ) 4.42 U.S. Treasury futures - 10 year and greater 2,600,000 (5,806,400 ) 9.74 Total $ 2,600,000 $ (8,939,700 ) 8.26 |
Offsetting of Derivative Assets and Liabilities | The following tables present information about derivative assets and liabilities that are subject to such provisions and can be offset on our Consolidated Statements of Financial Condition at March 31, 2020 and December 31, 2019 , respectively. March 31, 2020 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaptions, at fair value $ 58,468 $ — $ — $ 58,468 TBA derivatives, at fair value 180,307 (15,747 ) — 164,560 Purchase commitments 1 — — 1 Liabilities Interest rate swaps, at fair value $ 1,244,309 $ — $ (162,668 ) $ 1,081,641 TBA derivatives, at fair value 15,747 (15,747 ) — — Purchase commitments 9,666 — — 9,666 Credit derivatives 61,466 — (48,845 ) 12,621 December 31, 2019 Amounts Eligible for Offset Gross Amounts Financial Instruments Cash Collateral Net Amounts Assets (dollars in thousands) Interest rate swaps, at fair value $ 1,199 $ (951 ) $ — $ 248 Interest rate swaptions, at fair value 11,580 — — 11,580 TBA derivatives, at fair value 15,181 (5,018 ) — 10,163 Futures contracts, at fair value 77,889 (10,902 ) — 66,987 Purchase commitments 2,050 — — 2,050 Credit derivatives 5,657 — — 5,657 Liabilities Interest rate swaps, at fair value $ 706,862 $ (951 ) $ (104,205 ) $ 601,706 TBA derivatives, at fair value 11,316 (5,018 ) — 6,298 Futures contracts, at fair value 84,781 (10,902 ) (73,879 ) — Purchase commitments 907 — — 907 |
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss | The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows: Location on Consolidated Statements of Comprehensive Income (Loss) Net Interest Component of Interest Rate Swaps Realized Gains (Losses) on Termination of Interest Rate Swaps Unrealized Gains (Losses) on Interest Rate Swaps For the three months ended (dollars in thousands) March 31, 2020 $ (13,980 ) $ (397,561 ) $ (2,827,723 ) March 31, 2019 $ 134,035 $ (588,256 ) $ (390,556 ) The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows: Three Months Ended March 31, 2020 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 271,085 $ 160,695 $ 431,780 Net interest rate swaptions 51,445 70,133 121,578 Futures (279,476 ) 6,892 (272,584 ) Purchase commitments — (10,809 ) (10,809 ) Credit derivatives 1,925 (65,464 ) (63,539 ) Total $ 206,426 Three Months Ended March 31, 2019 Derivative Instruments Realized Gain (Loss) Unrealized Gain (Loss) Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives (dollars in thousands) Net TBA derivatives $ 213,725 $ (39,940 ) $ 173,785 Net interest rate swaptions (29,992 ) 19,684 (10,308 ) Futures (491,741 ) 202,312 (289,429 ) Purchase commitments — 1,145 1,145 Credit derivatives 2,302 7,346 9,648 Total $ (115,159 ) |
FAIR VALUE MEASUREMENTS (Tables
FAIR VALUE MEASUREMENTS (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Values, Assets and Liabilities Measured on Recurring Basis | The following tables present the estimated fair values of financial instruments and MSRs measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented. March 31, 2020 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 78,456,846 $ — $ 78,456,846 Credit risk transfer securities — 222,871 — 222,871 Non-Agency mortgage-backed securities — 585,954 — 585,954 Commercial mortgage-backed securities — 91,925 — 91,925 Loans Residential mortgage loans — 1,268,083 — 1,268,083 Mortgage servicing rights — — 280,558 280,558 Assets transferred or pledged to securitization vehicles — 6,758,371 — 6,758,371 Derivative assets Other derivatives — 238,776 — 238,776 Total assets $ — $ 87,622,826 $ 280,558 $ 87,903,384 Liabilities Debt issued by securitization vehicles — 6,364,949 — 6,364,949 Derivative liabilities Interest rate swaps — 1,244,309 — 1,244,309 Other derivatives — 86,879 — 86,879 Total liabilities $ — $ 7,696,137 $ — $ 7,696,137 December 31, 2019 Level 1 Level 2 Level 3 Total Assets (dollars in thousands) Securities Agency mortgage-backed securities $ — $ 112,893,367 $ — $ 112,893,367 Credit risk transfer securities — 531,322 — 531,322 Non-Agency mortgage-backed securities — 1,135,868 — 1,135,868 Commercial mortgage-backed securities — 273,023 — 273,023 Loans Residential mortgage loans — 1,647,787 — 1,647,787 Mortgage servicing rights — — 378,078 378,078 Assets transferred or pledged to securitization vehicles — 6,066,082 — 6,066,082 Derivative assets Interest rate swaps — 1,199 — 1,199 Other derivatives 77,889 34,468 — 112,357 Total assets $ 77,889 $ 122,583,116 $ 378,078 $ 123,039,083 Liabilities Debt issued by securitization vehicles $ — $ 5,622,801 $ — $ 5,622,801 Derivative liabilities Interest rate swaps — 706,862 — 706,862 Other derivatives 84,781 12,223 — 97,004 Total liabilities $ 84,781 $ 6,341,886 $ — $ 6,426,667 |
Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs | The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments. March 31, 2020 December 31, 2019 Valuation Technique Unobservable Input (1) Range (Weighted Average ) (2) Unobservable Input (1) Range (Weighted Average ) (2) Discounted cash flow Discount rate 9.0% -12.0% (9.3%) Discount rate 9.0% -12.0% (9.3%) Prepayment rate 10.1% - 39.6% (24.9%) Prepayment rate 6.3% - 26.6% (13.7%) Delinquency rate 0.0% - 4.0% (2.1%) Delinquency rate 0.0% - 4.0% (2.2%) Cost to service $81 - $134 ($108) Cost to service $81 - $135 ($107) (1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. (2) Weighted average discount rate computed based on the fair value of MSRs, weighted average prepayment rate, delinquency rate and cost to service based on unpaid principal balances of loans underlying the MSRs. |
Schedule of Estimated Fair Value for All Financial Assets and Liabilities | The following table summarizes the estimated fair values for financial assets and liabilities that are not carried at fair value at March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 Carrying Fair Carrying Fair Financial assets (dollars in thousands) Loans Commercial real estate debt and preferred equity, held for investment (1) $ 1,563,134 $ 1,589,752 $ 1,606,091 $ 1,619,018 Corporate debt, held for investment 2,150,263 1,965,186 2,144,850 2,081,327 Financial liabilities Repurchase agreements $ 72,580,183 $ 72,580,183 $ 101,740,728 $ 101,740,728 Other secured financing 1,805,428 1,805,428 4,455,700 4,455,700 Mortgage payable 484,762 574,648 485,005 515,994 (1) Includes assets of consolidated VIEs. |
GOODWILL AND INTANGIBLE ASSETS
GOODWILL AND INTANGIBLE ASSETS (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Goodwill and Intangible Assets Disclosure [Abstract] | |
Schedule of Finite-Lived Intangible Assets | The following table presents the activity of finite lived intangible assets for the three months ended March 31, 2020 . Intangible Assets, net (dollars in thousands) Balance at December 31, 2019 $ 20,957 Intangible assets acquired 6,683 Intangible assets divested (110 ) Less: amortization expense (1,052 ) Balance at March 31, 2020 $ 26,478 |
SECURED FINANCING (Tables)
SECURED FINANCING (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates | At March 31, 2020 and December 31, 2019 , the repurchase agreements had the following remaining maturities, collateral types and weighted average rates: March 31, 2020 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ 20,238,083 $ — $ — $ — $ — $ 20,238,083 0.31 % 2 to 29 days 19,628,403 108,219 355,896 — 134,110 20,226,628 1.49 % 30 to 59 days 11,984,266 — 71,040 — — 12,055,306 1.58 % 60 to 89 days 10,559,727 76,197 391,033 — 35,326 11,062,283 1.61 % 90 to 119 days 2,291,460 — — — — 2,291,460 1.80 % Over 119 days (1) 6,125,669 — 52,190 368,589 159,975 6,706,423 1.74 % Total $ 70,827,608 $ 184,416 $ 870,159 $ 368,589 $ 329,411 $ 72,580,183 1.23 % December 31, 2019 Agency Mortgage-Backed Securities CRTs Non-Agency Mortgage-Backed Securities Commercial Commercial Mortgage-Backed Securities Total Repurchase Agreements Weighted Average Rate (dollars in thousands) 1 day $ — $ — $ — $ — $ — $ — — % 2 to 29 days 36,030,104 237,897 698,091 — 416,439 37,382,531 2.15 % 30 to 59 days 15,079,989 — 115,805 — 104,363 15,300,157 2.00 % 60 to 89 days 21,931,335 30,841 151,920 — 3,639 22,117,735 1.97 % 90 to 119 days 9,992,914 — — — — 9,992,914 1.97 % Over 119 days (1) 16,557,123 — 58,712 303,078 28,478 16,947,391 1.90 % Total $ 99,591,465 $ 268,738 $ 1,024,528 $ 303,078 $ 552,919 $ 101,740,728 2.03 % (1) No repurchase agreements had a remaining maturity over 1 year at March 31, 2020 and December 31, 2019 . |
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement | The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition at March 31, 2020 and December 31, 2019 . Refer to the “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments. March 31, 2020 December 31, 2019 Reverse Repurchase Agreements Repurchase Agreements Reverse Repurchase Agreements Repurchase Agreements (dollars in thousands) Gross amounts $ 1,000,000 $ 73,580,183 $ 100,000 $ 101,840,728 Amounts offset (1,000,000 ) (1,000,000 ) (100,000 ) (100,000 ) Netted amounts $ — $ 72,580,183 $ — $ 101,740,728 |
Schedule of Mortgage Notes Payable | Mortgage loans payable at March 31, 2020 and December 31, 2019 , were as follows: March 31, 2020 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,597 $ 318,497 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,471 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 82,461 84,206 2.34% - 4.55% Fixed 2036 - 2053 First liens Texas 31,535 33,023 3.28% Fixed 1/1/2048 and 1/1/2053 First liens Utah 9,706 9,706 L+2.75% Floating 1/31/2021 First liens Utah 7,051 7,069 3.69% Fixed 6/1/2053 First liens Minnesota 13,193 13,226 3.69% Fixed 6/1/2053 First liens Wisconsin 7,748 7,768 3.69% Fixed 6/1/2053 First liens Total $ 484,762 $ 489,820 December 31, 2019 Property Mortgage Mortgage Interest Rate Fixed/Floating Maturity Date Priority (dollars in thousands) Joint Ventures $ 316,566 $ 318,562 4.03% - 4.96% Fixed 2024 - 2029 First liens Joint Ventures 16,029 16,325 L+2.15% Floating 2/27/2022 First liens Virginia 82,940 84,702 2.34% - 4.55% Fixed 2036 - 2053 First liens Texas 31,667 33,167 3.28% Fixed 1/1/2048 and 1/1/2053 First liens Utah 9,706 9,706 L+3.50% Floating 1/31/2020 First liens Utah 7,077 7,096 3.69% Fixed 6/1/2053 First liens Minnesota 13,243 13,276 3.69% Fixed 6/1/2053 First liens Wisconsin 7,777 7,797 3.69% Fixed 6/1/2053 First liens Total $ 485,005 $ 490,631 |
Schedule of Mortgage Loan Principle Payments Due | The following table details future mortgage loan principal payments at March 31, 2020 : Mortgage Loan Principal Payments (dollars in thousands) 2020 (remaining) $ 2,472 2021 13,197 2022 20,034 2023 3,844 2024 3,980 Later years 446,293 Total $ 489,820 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Equity [Abstract] | |
Schedule of Stock by Class | The following table provides a summary of the Company’s common shares authorized, and issued and outstanding at March 31, 2020 and December 31, 2019 . Shares authorized Shares issued and outstanding March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 Par Value Common stock 2,914,850,000 2,914,850,000 1,430,424,398 1,430,106,199 $0.01 The following is a summary of the Company’s cumulative redeemable preferred stock outstanding at March 31, 2020 and December 31, 2019 . In the event of a liquidation or dissolution of the Company, the Company’s then outstanding preferred stock takes precedence over the Company’s common stock with respect to payment of dividends and the distribution of assets. Shares Authorized Shares Issued And Outstanding Carrying Value Contractual Rate Earliest Redemption Date (1) Date At Which Dividend Rate Becomes Floating Floating Annual Rate March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 March 31, 2020 December 31, 2019 Fixed-rate (dollars in thousands) Series D 18,400,000 18,400,000 18,400,000 18,400,000 445,457 445,457 7.50% 9/13/2017 NA NA Fixed-to-floating rate Series F 28,800,000 28,800,000 28,800,000 28,800,000 696,910 696,910 6.95% 9/30/2022 9/30/2022 3M LIBOR + 4.993% Series G 19,550,000 19,550,000 17,000,000 17,000,000 411,335 411,335 6.50% 3/31/2023 3/31/2023 3M LIBOR + 4.172% Series I 18,400,000 18,400,000 17,700,000 17,700,000 428,324 428,324 6.75% 6/30/2024 6/30/2024 3M LIBOR + 4.989% Total 85,150,000 85,150,000 81,900,000 81,900,000 $ 1,982,026 $ 1,982,026 (1) Subject to the Company’s right under limited circumstances to redeem preferred stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change in control of the Company. |
Summary of Dividend Reinvestment Plan | The following table provides a summary of activity related to the Company’s Direct Purchase and Dividend Reinvestment Program. Three Months Ended March 31, 2020 March 31, 2019 (dollars in thousands) Shares issued through direct purchase and dividend reinvestment program — 87,000 Amount raised from direct purchase and dividend reinvestment program $ — $ 892 |
Summary of Dividend Distribution Activity | The following table provides a summary of the Company’s dividend distribution activity for the periods presented: For the Three Months Ended March 31, 2020 March 31, 2019 (dollars in thousands, except per share data) Dividends and dividend equivalents declared on common stock and share-based awards $ 357,819 $ 434,627 Distributions declared per common share $ 0.25 $ 0.30 Distributions paid to common stockholders after period end $ 357,606 $ 434,431 Distributions paid per common share after period end $ 0.25 $ 0.30 Date of distributions paid to common stockholders after period end April 30, 2020 April 30, 2019 Dividends declared to series C preferred stockholders $ — $ 3,336 Dividends declared per share of series C preferred stock (1) $ — $ 0.477 Dividends declared to series D preferred stockholders $ 8,625 $ 8,625 Dividends declared per share of series D preferred stock $ 0.469 $ 0.469 Dividends declared to series F preferred stockholders $ 12,510 $ 12,510 Dividends declared per share of series F preferred stock $ 0.434 $ 0.434 Dividends declared to series G preferred stockholders $ 6,906 $ 6,906 Dividends declared per share of series G preferred stock $ 0.406 $ 0.406 Dividends declared to series H preferred stockholders $ — $ 1,117 Dividends declared per share of series H preferred stock $ — $ 0.508 Dividends declared to series I preferred stockholders $ 7,468 $ — Dividends declared per share of series I preferred stock $ 0.422 $ — |
INTEREST INCOME AND INTEREST _2
INTEREST INCOME AND INTEREST EXPENSE (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Banking and Thrift, Interest [Abstract] | |
Summary of Interest Income Recognition Methodology for Residential Investment Securities | The following table summarizes the interest income recognition methodology for Residential Securities: Interest Income Methodology Agency Fixed-rate pass-through (1) Effective yield (3) Adjustable-rate pass-through (1) Effective yield (3) Multifamily (1) Contractual Cash Flows CMO (1) Effective yield (3) Reverse mortgages (2) Prospective Interest-only (2) Prospective Residential credit CRT (2) Prospective Alt-A (2) Prospective Prime (2) Prospective Subprime (2) Prospective NPL/RPL (2) Prospective Prime jumbo (2) Prospective Prime jumbo interest-only (2) Prospective (1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). (2) Changes in fair value are recognized in Net unrealized gains (losses) on instruments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). (3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. |
Components of Company's Interest Income and Interest Expense | The following presents the components of the Company’s interest income and interest expense for the three months ended March 31, 2020 and March 31, 2019 . For the Three Months Ended March 31, 2020 2019 Interest income (dollars in thousands) Residential Securities (1) $ 410,380 $ 709,774 Residential mortgage loans (1) 47,557 29,991 Commercial investment portfolio (1) (2) 95,676 100,952 Reverse repurchase agreements 1,413 25,469 Total interest income $ 555,026 $ 866,186 Interest expense Repurchase agreements 434,021 579,514 Debt issued by securitization vehicles 42,119 34,207 Other 27,333 33,974 Total interest expense 503,473 647,695 Net interest income $ 51,553 $ 218,491 (1) Includes assets transferred or pledged to securitization vehicles. (2) Includes commercial real estate debt and preferred equity and corporate debt. |
NET INCOME (LOSS) PER COMMON _2
NET INCOME (LOSS) PER COMMON SHARE (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share [Abstract] | |
Schedule of Net Income (Loss) Per Share Reconciliation | The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the three months ended March 31, 2020 and March 31, 2019 . For the Three Months Ended March 31, 2020 March 31, 2019 (dollars in thousands, except per share data) Net income (loss) $ (3,640,189 ) $ (849,251 ) Net income (loss) attributable to noncontrolling interests 66 (101 ) Net income (loss) attributable to Annaly (3,640,255 ) (849,150 ) Dividends on preferred stock 35,509 32,494 Net income (loss) available (related) to common stockholders $ (3,675,764 ) $ (881,644 ) Weighted average shares of common stock outstanding-basic 1,430,994,319 1,398,614,205 Add: Effect of stock awards, if dilutive — — Weighted average shares of common stock outstanding-diluted 1,430,994,319 1,398,614,205 Net income (loss) per share available (related) to common share Basic $ (2.57 ) $ (0.63 ) Diluted $ (2.57 ) $ (0.63 ) |
LEASE COMMITMENTS AND CONTING_2
LEASE COMMITMENTS AND CONTINGENCIES (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Supplemental Information Regarding Leases | Supplemental information related to leases as of and for the three months ended March 31, 2020 was as follows: Operating Leases Classification March 31, 2020 Assets (dollars in thousands) Operating lease right-of-use assets Other assets $ 15,140 Liabilities Operating lease liabilities (1) Other liabilities $ 19,656 Lease term and discount rate Weighted average remaining lease term 5.4 years Weighted average discount rate (1) 2.9% Cash paid for amounts included in the measurement of lease liabilities Operating cash flows from operating leases $ 928 (1) As the Company’s leases do not provide an implicit rate, the Company uses an incremental borrowing rate based on the information available at adoption date in determining the present value of lease payments. |
Operating Lease Liability Schedule of Maturity | The following table provides details related to maturities of lease liabilities: Maturity of Lease Liabilities Years ending December 31, (dollars in thousands) 2020 (remaining) $ 2,871 2021 3,918 2022 3,862 2023 3,862 2024 3,862 Later years 2,895 Total lease payments $ 21,270 Less imputed interest 1,614 Present value of lease liabilities $ 19,656 |
SIGNIFICANT ACCOUNTING POLICI_4
SIGNIFICANT ACCOUNTING POLICIES - Additional Information (Details) - USD ($) $ in Billions | Mar. 31, 2020 | Dec. 31, 2019 |
Interest rate swaps, at fair value | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Margin deposit assets | $ 1 | $ 1.6 |
SIGNIFICANT ACCOUNTING POLICI_5
SIGNIFICANT ACCOUNTING POLICIES - Recent Accounting Pronouncements (Details) - USD ($) $ in Millions | Jan. 01, 2020 | Mar. 31, 2020 | Dec. 31, 2019 |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Allowance for loan loss | $ 137.9 | $ 20.1 | |
2016-13 | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Allowance for loan loss | $ 37.4 | ||
Off-balance sheet credit loss, liability | 2.2 | ||
Cumulative effect on retained earnings | $ 39.6 |
FINANCIAL INSTRUMENTS - Summary
FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | $ 96,917,274 | $ 130,295,081 | [1] |
Liabilities | 84,209,744 | 114,498,737 | [1] |
Total securities | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 79,357,596 | 114,833,580 | |
Agency mortgage-backed securities, recognized through comprehensive income | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 77,869,157 | 112,124,958 | |
Agency mortgage-backed securities, recognized through earnings | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 587,689 | 768,409 | |
Credit risk transfer securities | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 222,871 | 531,322 | |
Non-agency mortgage-backed securities | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 585,954 | 1,135,868 | |
Commercial real estate debt investment, securities, recognized through other comprehensive income | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 50,745 | 64,655 | |
Commercial real estate debt investment, securities, recognized through earnings | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 41,180 | 208,368 | |
Total loans, net | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 4,068,189 | 4,462,350 | |
Residential mortgage loans | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 1,268,083 | 1,647,787 | |
Commercial real estate debt and preferred equity, held for investment | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 649,843 | 669,713 | |
Corporate debt held for investment, net | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 2,150,263 | 2,144,850 | |
Total assets transferred or pledged to securitization vehicles | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 7,671,662 | 7,002,460 | |
Mortgage-backed securities, recognized through other comprehensive income | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 1,803,608 | 1,122,588 | |
Residential mortgage loans, recognized through earnings | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 3,027,188 | 2,598,374 | |
Commercial mortgage loans, recognized through earnings | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 1,927,575 | 2,345,120 | |
Commercial mortgage loans | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Assets | 913,291 | 936,378 | |
Repurchase agreements | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | 72,580,183 | 101,740,728 | |
Other secured financing | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | 1,805,428 | 4,455,700 | |
Debt issued by securitization vehicles | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | 6,364,949 | 5,622,801 | |
Mortgages payable | |||
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] | |||
Liabilities | $ 484,762 | $ 485,005 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . |
SECURITIES - Summary of Residen
SECURITIES - Summary of Residential Securities and CMBS (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance | $ 114,833,580 |
Purchases | 11,925,383 |
Sales and transfers | (42,333,457) |
Principal paydowns | (4,890,854) |
(Amortization) / accretion | (616,847) |
Fair value adjustment | 439,791 |
Ending balance | 79,357,596 |
Residential Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance | 114,560,557 |
Purchases | 11,925,383 |
Sales and transfers | (42,179,748) |
Principal paydowns | (4,885,921) |
(Amortization) / accretion | (616,974) |
Fair value adjustment | 462,374 |
Ending balance | 79,265,671 |
Commercial Securities | |
Debt Securities, Available-For-Sale [Roll Forward] | |
Beginning balance | 273,023 |
Purchases | 0 |
Sales and transfers | (153,709) |
Principal paydowns | (4,933) |
(Amortization) / accretion | 127 |
Fair value adjustment | (22,583) |
Ending balance | $ 91,925 |
SECURITIES - Portfolio (Details
SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | $ 77,593,064 | $ 113,123,301 |
Remaining premium | 3,913,867 | 5,353,597 |
Remaining discount | (106,340) | (166,320) |
Amortized cost | 76,947,610 | 112,863,385 |
Unrealized gains | 2,896,205 | 2,261,636 |
Unrealized losses | (486,219) | (291,441) |
Estimated fair value | 79,357,596 | 114,833,580 |
Agency | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 75,465,615 | 110,241,618 |
Remaining premium | 3,885,902 | 5,307,771 |
Remaining discount | (30,782) | (50,294) |
Amortized cost | 75,727,702 | 111,012,250 |
Unrealized gains | 2,890,817 | 2,167,941 |
Unrealized losses | (161,673) | (286,824) |
Estimated fair value | 78,456,846 | 112,893,367 |
Agency | Fixed-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 69,788,774 | 102,448,565 |
Remaining premium | 3,167,897 | 4,345,053 |
Remaining discount | (27,245) | (46,614) |
Amortized cost | 72,929,426 | 106,747,004 |
Unrealized gains | 2,798,718 | 2,071,583 |
Unrealized losses | (234) | (95,173) |
Estimated fair value | 75,727,910 | 108,723,414 |
Agency | Adjustable-rate pass-through | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 609,737 | 1,474,818 |
Remaining premium | 9,043 | 72,245 |
Remaining discount | (2,404) | (1,400) |
Amortized cost | 616,376 | 1,545,663 |
Unrealized gains | 16,817 | 10,184 |
Unrealized losses | (1,757) | (31,516) |
Estimated fair value | 631,436 | 1,524,331 |
Agency | CMO | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 153,405 | 156,937 |
Remaining premium | 2,436 | 2,534 |
Remaining discount | 0 | 0 |
Amortized cost | 155,841 | 159,471 |
Unrealized gains | 4,749 | 545 |
Unrealized losses | 0 | 0 |
Estimated fair value | 160,590 | 160,016 |
Agency | Interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 3,593,033 | 4,486,845 |
Remaining premium | 684,208 | 862,905 |
Remaining discount | 0 | 0 |
Amortized cost | 684,208 | 862,905 |
Unrealized gains | 3,170 | 2,787 |
Unrealized losses | (157,742) | (157,130) |
Estimated fair value | 529,636 | 708,562 |
Agency | Multifamily | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 1,266,927 | 1,619,900 |
Remaining premium | 17,490 | 19,981 |
Remaining discount | (1,133) | (2,280) |
Amortized cost | 1,283,284 | 1,637,601 |
Unrealized gains | 67,345 | 82,292 |
Unrealized losses | (1,408) | (2,696) |
Estimated fair value | 1,349,221 | 1,717,197 |
Agency | Reverse mortgages | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 53,739 | 54,553 |
Remaining premium | 4,828 | 5,053 |
Remaining discount | 0 | 0 |
Amortized cost | 58,567 | 59,606 |
Unrealized gains | 18 | 550 |
Unrealized losses | (532) | (309) |
Estimated fair value | 58,053 | 59,847 |
Residential credit | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 2,012,897 | 2,617,718 |
Remaining premium | 27,685 | 34,953 |
Remaining discount | (67,656) | (106,633) |
Amortized cost | 1,112,978 | 1,585,690 |
Unrealized gains | 5,388 | 85,985 |
Unrealized losses | (309,541) | (4,485) |
Estimated fair value | 808,825 | 1,667,190 |
Residential credit | CRT | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 470,229 | 517,110 |
Remaining premium | 10,811 | 15,850 |
Remaining discount | (1,325) | (2,085) |
Amortized cost | 464,790 | 515,950 |
Unrealized gains | 0 | 16,605 |
Unrealized losses | (241,919) | (1,233) |
Estimated fair value | 222,871 | 531,322 |
Residential credit | CRT interest-only security | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 14,900 | 14,900 |
Residential credit | Alt-A | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 108,312 | 160,957 |
Remaining premium | 52 | 250 |
Remaining discount | (20,861) | (22,306) |
Amortized cost | 87,503 | 138,901 |
Unrealized gains | 723 | 12,482 |
Unrealized losses | (11,966) | 0 |
Estimated fair value | 76,260 | 151,383 |
Residential credit | Prime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 230,056 | 277,076 |
Remaining premium | 4,451 | 3,362 |
Remaining discount | (15,780) | (17,794) |
Amortized cost | 218,727 | 262,644 |
Unrealized gains | 3,008 | 14,142 |
Unrealized losses | (13,099) | (529) |
Estimated fair value | 208,636 | 276,257 |
Residential credit | Prime interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 332,185 | 391,234 |
Remaining premium | 3,387 | 3,757 |
Remaining discount | 0 | 0 |
Amortized cost | 3,387 | 3,757 |
Unrealized gains | 0 | 0 |
Unrealized losses | (1,114) | (590) |
Estimated fair value | 2,273 | 3,167 |
Residential credit | Subprime | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 160,887 | 370,263 |
Remaining premium | 100 | 1,356 |
Remaining discount | (25,138) | (59,727) |
Amortized cost | 135,849 | 311,892 |
Unrealized gains | 1,125 | 37,205 |
Unrealized losses | (7,931) | (118) |
Estimated fair value | 129,043 | 348,979 |
Residential credit | NPL/RPL | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 132,603 | 164,180 |
Remaining premium | 321 | 351 |
Remaining discount | (352) | (440) |
Amortized cost | 132,572 | 164,091 |
Unrealized gains | 0 | 191 |
Unrealized losses | (26,489) | (14) |
Estimated fair value | 106,083 | 164,268 |
Residential credit | Prime jumbo (2010 vintage) | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 65,787 | 182,709 |
Remaining premium | 0 | 1,026 |
Remaining discount | (4,200) | (4,281) |
Amortized cost | 61,587 | 179,454 |
Unrealized gains | 532 | 5,360 |
Unrealized losses | (3,454) | (150) |
Estimated fair value | 58,665 | 184,664 |
Residential credit | Prime jumbo (2010 vintage) Interest-only | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 512,838 | 554,189 |
Remaining premium | 8,563 | 9,001 |
Remaining discount | 0 | 0 |
Amortized cost | 8,563 | 9,001 |
Unrealized gains | 0 | 0 |
Unrealized losses | (3,569) | (1,851) |
Estimated fair value | 4,994 | 7,150 |
Total Residential Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 77,478,512 | 112,859,336 |
Remaining premium | 3,913,587 | 5,342,724 |
Remaining discount | (98,438) | (156,927) |
Amortized cost | 76,840,680 | 112,597,940 |
Unrealized gains | 2,896,205 | 2,253,926 |
Unrealized losses | (471,214) | (291,309) |
Estimated fair value | 79,265,671 | 114,560,557 |
Commercial Securities | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||
Principal / notional | 114,552 | 263,965 |
Remaining premium | 280 | 10,873 |
Remaining discount | (7,902) | (9,393) |
Amortized cost | 106,930 | 265,445 |
Unrealized gains | 0 | 7,710 |
Unrealized losses | (15,005) | (132) |
Estimated fair value | $ 91,925 | $ 273,023 |
SECURITIES - Component of Agenc
SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | ||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Estimated fair value | [1] | $ 79,357,596 | $ 114,833,580 | [2] |
Agency Mortgage-Backed Securities | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Estimated fair value | 78,456,846 | 112,893,367 | ||
Agency Mortgage-Backed Securities | Fannie Mae | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Estimated fair value | 53,793,047 | 76,656,831 | ||
Agency Mortgage-Backed Securities | Freddie Mac | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Estimated fair value | 24,524,333 | 36,087,100 | ||
Agency Mortgage-Backed Securities | Ginnie Mae | ||||
Mortgage-Backed Securities Portfolio [Line Items] | ||||
Estimated fair value | $ 139,466 | $ 149,436 | ||
[1] | Excludes $127.7 million and $102.5 million at March 31, 2020 and December 31, 2019 , respectively, of Agency mortgage-backed securities, $412.0 million and $468.0 million at March 31, 2020 and December 31, 2019 , respectively, of non-Agency mortgage-backed securities and $367.6 million and $500.3 million at March 31, 2020 and December 31, 2019 | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2019 . |
SECURITIES - Weighted Average L
SECURITIES - Weighted Average Life (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | ||
Estimated Fair Value | ||||
Total | [1] | $ 79,357,596 | $ 114,833,580 | [2] |
Amortized Cost | ||||
Total | 76,947,610 | 112,863,385 | ||
Total Residential Securities | ||||
Estimated Fair Value | ||||
Less than one year | 11,969 | 3,997 | ||
Greater than one year through five years | 58,521,294 | 36,290,254 | ||
Greater than five years through ten years | 20,265,852 | 77,732,756 | ||
Greater than ten years | 466,556 | 533,550 | ||
Total | 79,265,671 | 114,560,557 | ||
Amortized Cost | ||||
Less than one year | 12,185 | 4,543 | ||
Greater than one year through five years | 56,615,526 | 35,581,833 | ||
Greater than five years through ten years | 19,706,235 | 76,504,845 | ||
Greater than ten years | 506,734 | 506,719 | ||
Total | $ 76,840,680 | $ 112,597,940 | ||
[1] | Excludes $127.7 million and $102.5 million at March 31, 2020 and December 31, 2019 , respectively, of Agency mortgage-backed securities, $412.0 million and $468.0 million at March 31, 2020 and December 31, 2019 , respectively, of non-Agency mortgage-backed securities and $367.6 million and $500.3 million at March 31, 2020 and December 31, 2019 | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2019 . |
SECURITIES - Unrealized Loss Po
SECURITIES - Unrealized Loss Position (Details) $ in Thousands | Mar. 31, 2020USD ($)security | Dec. 31, 2019USD ($)security |
Unrealized Loss Position For: | ||
Estimated fair value | $ 79,357,596 | $ 114,833,580 |
Gross unrealized losses | (486,219) | (291,441) |
Agency Mortgage-Backed Securities | ||
Unrealized Loss Position For: | ||
Estimated fair value | 290,197 | 19,007,519 |
Gross unrealized losses | $ (3,399) | $ (129,385) |
Number of securities | security | 22 | 491 |
Agency Mortgage-Backed Securities | Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated fair value | $ 167,223 | $ 7,388,239 |
Gross unrealized losses | $ (1,666) | $ (24,056) |
Number of securities | security | 12 | 139 |
Agency Mortgage-Backed Securities | Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months | ||
Unrealized Loss Position For: | ||
Estimated fair value | $ 122,974 | $ 11,619,280 |
Gross unrealized losses | $ (1,733) | $ (105,329) |
Number of securities | security | 10 | 352 |
SECURITIES - Additional Informa
SECURITIES - Additional Information (Details) - USD ($) $ in Billions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | ||
Residential Investment securities sold, carrying value | $ 41.9 | $ 10.5 |
SECURITIES - Realized Gain (Los
SECURITIES - Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | ||
Gross Realized Gains | $ 539,255 | $ 2,526 |
Gross Realized Losses | (271,998) | (95,040) |
Net Realized Gains (Losses) | $ 267,257 | $ (92,514) |
LOANS - Additional Information
LOANS - Additional Information (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Jan. 01, 2020 | Dec. 31, 2018 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Assets | $ 96,917,274,000 | $ 130,295,081,000 | [1] | |||
Loan loss provision recorded during period | 99,326,000 | $ 5,703,000 | ||||
Allowance for loan loss | 137,900,000 | 20,100,000 | ||||
Commercial Mortgage Loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Loan loss provision recorded during period | 52,100,000 | 5,700,000 | ||||
Principal balance | 106,200,000 | 36,600,000 | ||||
Carrying value | 48,300,000 | 30,900,000 | ||||
Unfunded commitments | $ 140,900,000 | $ 181,400,000 | ||||
Loans receivable with variable rates of interest | 94.00% | 92.00% | ||||
Commercial Mortgage Loans | Impact of adopting CECL | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Allowance for loan loss | $ 7,800,000 | |||||
Commercial Mortgage Loans | CECL provision, adjusted balance | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Allowance for loan loss | $ 23,200,000 | |||||
Residential Mortgage Loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Assets | 1,300,000,000 | $ 1,600,000,000 | ||||
Loans | $ 57,800,000 | $ 66,700,000 | ||||
Percent of adjustable-rate loans | 33.00% | 36.00% | ||||
Corporate Loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Loan loss provision recorded during period | $ 10,000,000 | $ 0 | ||||
Loans | 2,150,263,000 | $ 2,144,850,000 | $ 1,887,182,000 | |||
Principal balance | 29,300,000 | |||||
Carrying value | 21,900,000 | |||||
Debt | 4,800,000 | |||||
Allowance for loan losses, writeoffs | 11,900,000 | |||||
Unfunded commitments | 79,500,000 | 81,200,000 | ||||
Corporate Loans | Impact of adopting CECL | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Allowance for credit loss | $ 29,700,000 | |||||
Corporate Loans | CECL provision, adjusted balance | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Loans | 2,152,213,000 | |||||
Allowance for credit loss | $ 14,100,000 | |||||
Minimum | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Senior secured loans, stated maturity | 5 years | |||||
Maximum | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Senior secured loans, stated maturity | 7 years | |||||
First lien loans | Corporate Loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Loans | $ 1,496,887,000 | 1,396,140,000 | 1,346,356,000 | |||
Allowance for loan losses, writeoffs | 19,600,000 | |||||
First lien loans | Corporate Loans | CECL provision, adjusted balance | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Loans | 1,403,503,000 | |||||
Second lien loans | Corporate Loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Loans | 653,376,000 | 748,710,000 | $ 540,826,000 | |||
Debt | $ 2,800,000 | |||||
Second lien loans | Corporate Loans | CECL provision, adjusted balance | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Loans | $ 748,710,000 | |||||
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . |
LOANS - Investment Loan Activit
LOANS - Investment Loan Activity (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020USD ($) | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | $ 4,462,350 | [1],[2] |
Impact of adopting CECL | (33,253) | |
Purchases / originations | 1,203,394 | |
Sales and transfers | (1,294,348) | |
Principal payments | (134,622) | |
Gains / (losses) (2) | (136,583) | |
(Amortization) / accretion | 1,251 | |
Ending balance | 4,068,189 | [2] |
Residential | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 1,647,787 | |
Impact of adopting CECL | 0 | |
Purchases / originations | 642,795 | |
Sales and transfers | (922,773) | |
Principal payments | (41,732) | |
Gains / (losses) (2) | (56,082) | |
(Amortization) / accretion | (1,912) | |
Ending balance | 1,268,083 | |
Commercial | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 669,713 | |
Impact of adopting CECL | (3,600) | |
Purchases / originations | 173,517 | |
Sales and transfers | (95,730) | |
Principal payments | (38,425) | |
Gains / (losses) (2) | (56,475) | |
(Amortization) / accretion | 843 | |
Ending balance | 649,843 | |
Corporate Debt | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Beginning balance | 2,144,850 | |
Impact of adopting CECL | (29,653) | |
Purchases / originations | 387,082 | |
Sales and transfers | (275,845) | |
Principal payments | (54,465) | |
Gains / (losses) (2) | (24,026) | |
(Amortization) / accretion | 2,320 | |
Ending balance | $ 2,150,263 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . | |
[2] | Includes $57.8 million and $66.7 million of residential mortgage loans held for sale at March 31, 2020 and December 31, 2019 , respectively. |
LOANS - Fair Value and Unpaid P
LOANS - Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio (Details) - Residential Mortgage Loans - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Fair value | $ 4,295,271 | $ 4,246,161 |
Unpaid principal balance | $ 4,372,834 | $ 4,133,149 |
LOANS - Summary of Comprehensiv
LOANS - Summary of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest income | $ 51,553 | $ 218,491 |
Net gains (losses) on disposal of investments and other | 206,583 | (93,916) |
Net income (loss) attributable to Annaly | (3,640,255) | (849,150) |
Residential Mortgage Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest income | 47,557 | 29,991 |
Net gains (losses) on disposal of investments and other | (12,000) | (5,223) |
Net unrealized gains (losses) on instruments measured at fair value through earnings | (192,763) | 17,821 |
Net income (loss) attributable to Annaly | $ (157,206) | $ 42,589 |
LOANS - Geographic Concentratio
LOANS - Geographic Concentrations Based on Unpaid Principal Balances (Details) - Residential mortgage loans - Geographic Concentration Risk | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 100.00% | 100.00% |
California | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 51.50% | 52.10% |
New York | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 10.90% | 10.50% |
Florida | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 5.30% | 5.30% |
Other | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Geographic Concentrations of Residential Mortgage Loans | 32.30% | 32.10% |
LOANS - Additional Informatio_2
LOANS - Additional Information about Residential Mortgage Loans (Details) - Residential Mortgage Loans $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020USD ($)point | Dec. 31, 2019USD ($)point | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 4,372,834 | $ 4,133,149 |
Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 0 | $ 1 |
Interest rate | 2.00% | 2.00% |
FICO score at loan origination | point | 505 | 505 |
Loan-to-value ratio at loan origination | 8.00% | 8.00% |
Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 3,448 | $ 3,448 |
Interest rate | 8.75% | 8.38% |
FICO score at loan origination | point | 829 | 829 |
Loan-to-value ratio at loan origination | 105.00% | 105.00% |
Weighted Average | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 451 | $ 459 |
Interest rate | 4.89% | 4.94% |
FICO score at loan origination | point | 759 | 758 |
Loan-to-value ratio at loan origination | 67.00% | 67.00% |
LOANS - Summary of Commercial R
LOANS - Summary of Commercial Real Estate Investments Held for Investment (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | $ 77,593,064 | $ 113,123,301 | |
Commercial Mortgage | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | 1,660,063 | 1,627,109 | |
Loans | $ 1,563,134 | $ 1,606,091 | $ 1,296,803 |
Percentage of Loan Portfolio | 100.00% | 100.00% | |
Carrying value, unamortized origination fees | $ 8,200 | $ 8,300 | |
Commercial Mortgage | Office | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 673,947 | $ 681,129 | |
Percentage of Loan Portfolio | 43.10% | 42.40% | |
Commercial Mortgage | Retail | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 348,045 | $ 389,076 | |
Percentage of Loan Portfolio | 22.30% | 24.20% | |
Commercial Mortgage | Multifamily | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 283,698 | $ 262,302 | |
Percentage of Loan Portfolio | 18.10% | 16.30% | |
Commercial Mortgage | Hotel | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 125,870 | $ 135,681 | |
Percentage of Loan Portfolio | 8.10% | 8.40% | |
Commercial Mortgage | Industrial | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 79,882 | $ 82,441 | |
Percentage of Loan Portfolio | 5.10% | 5.10% | |
Commercial Mortgage | Other | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 32,534 | $ 36,589 | |
Percentage of Loan Portfolio | 2.10% | 2.30% | |
Commercial Mortgage | Healthcare | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Loans | $ 19,158 | $ 18,873 | |
Percentage of Loan Portfolio | 1.20% | 1.30% | |
Commercial Mortgage | Senior mortgages | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | $ 532,125 | $ 503,499 | |
Loans | $ 519,387 | $ 499,690 | 981,202 |
Percentage of Loan Portfolio | 32.10% | 30.90% | |
Commercial Mortgage | Senior Securitized Mortgages | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | $ 940,245 | $ 940,546 | |
Loans | $ 913,291 | $ 936,378 | 0 |
Percentage of Loan Portfolio | 56.60% | 57.80% | |
Commercial Mortgage | Mezzanine loans | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Outstanding Principal | $ 187,693 | $ 183,064 | |
Loans | $ 130,456 | $ 170,023 | $ 315,601 |
Percentage of Loan Portfolio | 11.30% | 11.30% |
LOANS - Commercial Real Estate
LOANS - Commercial Real Estate Held for Investment (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Principal payments | $ (134,622) | ||
Realized gain | (136,583) | ||
Beginning allowance | (20,100) | ||
Ending allowance | (137,900) | $ (20,100) | |
Commercial Mortgage | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Beginning balance | 1,606,091 | 1,296,803 | |
Originations & advances | 174,409 | 593,913 | |
Principal payments | (91,958) | (316,663) | |
Principal write off | (7,000) | ||
Transfers | (43,100) | 40,058 | |
Net (increase) decrease in origination fees | (892) | (4,384) | |
Realized gain | 204 | ||
Amortization & accretion of (premium) discounts | 1,445 | 5,571 | |
Net (increase) decrease in allowance | 9,207 | ||
Beginning allowance | (12,703) | ||
Current period allowance | (75,299) | ||
Write offs | (7,000) | ||
Ending allowance | (88,768) | (12,703) | |
Ending balance | 1,563,134 | 1,606,091 | $ 1,296,803 |
Mezzanine loans | Commercial Mortgage | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Beginning balance | 170,023 | 315,601 | |
Originations & advances | 11,628 | 21,709 | |
Principal payments | 0 | (149,633) | |
Principal write off | (7,000) | ||
Transfers | 0 | (8,675) | |
Net (increase) decrease in origination fees | (80) | (184) | |
Realized gain | 0 | ||
Amortization & accretion of (premium) discounts | 46 | 412 | |
Net (increase) decrease in allowance | 9,207 | ||
Beginning allowance | (12,703) | ||
Current period allowance | (49,825) | ||
Write offs | (7,000) | ||
Ending allowance | (56,864) | (12,703) | |
Ending balance | 130,456 | 170,023 | 315,601 |
Impact of adopting CECL | Commercial Mortgage | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Beginning allowance | (7,766) | ||
Ending allowance | (7,766) | ||
Impact of adopting CECL | Mezzanine loans | Commercial Mortgage | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Beginning allowance | (1,336) | ||
Ending allowance | (1,336) | ||
CECL provision, adjusted balance | Commercial Mortgage | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Beginning balance | 1,618,794 | ||
Ending balance | 1,618,794 | ||
CECL provision, adjusted balance | Mezzanine loans | Commercial Mortgage | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Beginning balance | 182,726 | ||
Ending balance | 182,726 | ||
Senior Mortgages | Commercial Mortgage | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Beginning balance | 499,690 | 981,202 | |
Originations & advances | 162,781 | 572,204 | |
Principal payments | (38,425) | (16,785) | |
Principal write off | 0 | ||
Transfers | (95,730) | (1,034,754) | |
Net (increase) decrease in origination fees | (812) | (4,200) | |
Realized gain | 204 | ||
Amortization & accretion of (premium) discounts | 797 | 2,023 | |
Net (increase) decrease in allowance | 0 | ||
Beginning allowance | 0 | ||
Current period allowance | (6,854) | ||
Write offs | 0 | ||
Ending allowance | (9,118) | 0 | |
Ending balance | 519,387 | 499,690 | 981,202 |
Senior Mortgages | Impact of adopting CECL | Commercial Mortgage | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Beginning allowance | (2,264) | ||
Ending allowance | (2,264) | ||
Senior Mortgages | CECL provision, adjusted balance | Commercial Mortgage | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Beginning balance | 499,690 | ||
Ending balance | 499,690 | ||
Senior Securitized Mortgages | Commercial Mortgage | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Beginning balance | 936,378 | 0 | |
Originations & advances | 0 | 0 | |
Principal payments | (53,533) | (150,245) | |
Principal write off | 0 | ||
Transfers | 52,630 | 1,083,487 | |
Net (increase) decrease in origination fees | 0 | 0 | |
Realized gain | 0 | ||
Amortization & accretion of (premium) discounts | 602 | 3,136 | |
Net (increase) decrease in allowance | 0 | ||
Beginning allowance | 0 | ||
Current period allowance | (18,620) | ||
Write offs | 0 | ||
Ending allowance | (22,786) | 0 | |
Ending balance | 913,291 | 936,378 | $ 0 |
Senior Securitized Mortgages | Impact of adopting CECL | Commercial Mortgage | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Beginning allowance | (4,166) | ||
Ending allowance | (4,166) | ||
Senior Securitized Mortgages | CECL provision, adjusted balance | Commercial Mortgage | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Beginning balance | $ 936,378 | ||
Ending balance | $ 936,378 |
LOANS - Commercial Real Estat_2
LOANS - Commercial Real Estate Amortized Cost Basis by Risk Rating and Vintage (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020USD ($)loan | Mar. 31, 2019USD ($) | |
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Loan loss provision | $ 99,326 | $ 5,703 |
Commercial Mortgage | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Total | 1,563,134 | |
2020 | 148,414 | |
2019 | 547,245 | |
2018 | 408,844 | |
2017 | 238,163 | |
2016 | 69,007 | |
Prior | 151,461 | |
Accrued interest receivable | 4,600 | |
Performing | Commercial Mortgage | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Total | 446,226 | |
2020 | 89,647 | |
2019 | 159,384 | |
2018 | 103,547 | |
2017 | 12,444 | |
2016 | 0 | |
Prior | 81,204 | |
Closely Monitored | Commercial Mortgage | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Total | 501,717 | |
2020 | 31,657 | |
2019 | 265,728 | |
2018 | 29,432 | |
2017 | 105,893 | |
2016 | 69,007 | |
Prior | 0 | |
Special Mention | Commercial Mortgage | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Total | 431,515 | |
2020 | 27,110 | |
2019 | 122,133 | |
2018 | 212,015 | |
2017 | 0 | |
2016 | 0 | |
Prior | 70,257 | |
Substandard | Commercial Mortgage | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Total | 85,390 | |
2020 | 0 | |
2019 | 0 | |
2018 | 30,390 | |
2017 | 55,000 | |
2016 | 0 | |
Prior | 0 | |
Doubtful | Commercial Mortgage | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Total | 98,286 | |
2020 | 0 | |
2019 | 0 | |
2018 | 33,460 | |
2017 | 64,826 | |
2016 | 0 | |
Prior | 0 | |
Loss | Commercial Mortgage | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Total | 0 | |
2020 | 0 | |
2019 | 0 | |
2018 | 0 | |
2017 | 0 | |
2016 | 0 | |
Prior | $ 0 | |
Mezzanine loans | Commercial Mortgage | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Number of loans | loan | 1 | |
Loan loss provision | $ 36,600 |
LOANS - Schedule of Industry an
LOANS - Schedule of Industry and Rate Sensitivity (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 2,150,263 | $ 2,144,850 |
Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 2,150,263 | 2,144,850 |
Computer Programming, Data Processing & Other Computer Related Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 391,559 | 394,193 |
Computer Programming, Data Processing & Other Computer Related Services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Computer Programming, Data Processing & Other Computer Related Services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,868 | 15,002 |
Management & Public Relations Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 288,586 | 339,179 |
Management & Public Relations Services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | |
Management & Public Relations Services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 145,446 | 0 |
Chemical & Chemical Preparations | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 145,446 | 0 |
Chemical & Chemical Preparations | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Chemical & Chemical Preparations | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 29,323 | 47,249 |
Miscellaneous Business Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 122,275 | 164,033 |
Miscellaneous Business Services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Miscellaneous Business Services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 391,559 | 394,193 |
Public Warehousing & Storage | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 119,577 | 107,029 |
Public Warehousing & Storage | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Public Warehousing & Storage | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 15,881 | 15,923 |
Engineering, Architectural, and Surveying | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 113,496 | 124,201 |
Engineering, Architectural, and Surveying | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Engineering, Architectural, and Surveying | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 44,442 | 43,175 |
Metal Cans & Shipping Containers | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 108,266 | 118,456 |
Metal Cans & Shipping Containers | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Metal Cans & Shipping Containers | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 23,266 | 24,000 |
Offices & Clinics of Doctors of Medicine | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 104,919 | 106,993 |
Offices & Clinics of Doctors of Medicine | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Offices & Clinics of Doctors of Medicine | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 113,496 | 124,201 |
Surgical, Medical & Dental Instruments & Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 100,791 | 102,182 |
Surgical, Medical & Dental Instruments & Supplies | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Surgical, Medical & Dental Instruments & Supplies | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 22,987 | 23,248 |
Home Health Care Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 74,013 | 75,410 |
Home Health Care Services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Home Health Care Services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 28,537 | 29,361 |
Telephone Communications | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 57,508 | 61,210 |
Telephone Communications | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Telephone Communications | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 74,013 | 75,410 |
Miscellaneous Health & Allied Services, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 50,327 | 78,908 |
Miscellaneous Health & Allied Services, not elsewhere classified | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Miscellaneous Health & Allied Services, not elsewhere classified | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 28,079 | 0 |
Miscellaneous Equipment Rental & Leasing | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 49,423 | 49,776 |
Miscellaneous Equipment Rental & Leasing | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Miscellaneous Equipment Rental & Leasing | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,528 | 14,755 |
Electric Work | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 44,442 | 43,175 |
Electric Work | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Electric Work | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 288,586 | 339,179 |
Medical & Dental Laboratories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 35,465 | 41,344 |
Medical & Dental Laboratories | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Medical & Dental Laboratories | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 35,465 | 41,344 |
Medical & Dental Laboratories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 31,903 | 30,191 |
Medical & Dental Laboratories | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Medical & Dental Laboratories | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 108,266 | 118,456 |
Nonferrous Foundries (Castings) | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 29,796 | 45,610 |
Nonferrous Foundries (Castings) | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Nonferrous Foundries (Castings) | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 122,275 | 164,033 |
Coating, Engraving and Allied Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 29,323 | 47,249 |
Coating, Engraving and Allied Services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Coating, Engraving and Allied Services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 49,423 | 49,776 |
Home Health Care Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 28,537 | 29,361 |
Home Health Care Services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Home Health Care Services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 50,327 | 78,908 |
Motor Vehicles and Motor Vehicle Parts & Supplies | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 28,464 | 28,815 |
Motor Vehicles and Motor Vehicle Parts & Supplies | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Motor Vehicles and Motor Vehicle Parts & Supplies | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 9,750 | 10,000 |
Legal Services | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 28,079 | 0 |
Legal Services | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Legal Services | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 28,464 | 28,815 |
Petroleum and Petroleum Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 24,834 | 24,923 |
Petroleum and Petroleum Products | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Petroleum and Petroleum Products | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 31,903 | 30,191 |
Electronic Components & Accessories | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 23,266 | 24,000 |
Electronic Components & Accessories | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Electronic Components & Accessories | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 104,919 | 106,993 |
Grocery Stores | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 22,987 | 23,248 |
Grocery Stores | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Grocery Stores | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 10,110 | 10,098 |
Schools & Educational Services, not elsewhere classified | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 19,376 | 19,586 |
Schools & Educational Services, not elsewhere classified | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Schools & Educational Services, not elsewhere classified | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 24,834 | 24,923 |
Chemicals & Allied Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 15,881 | 15,923 |
Chemicals & Allied Products | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Chemicals & Allied Products | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 119,577 | 107,029 |
Chemicals & Allied Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,868 | 15,002 |
Chemicals & Allied Products | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Chemicals & Allied Products | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 29,796 | 45,610 |
Mailing, Reproduction, Commercial Art and Photography, and Stenographic | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 14,528 | 14,755 |
Mailing, Reproduction, Commercial Art and Photography, and Stenographic | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Mailing, Reproduction, Commercial Art and Photography, and Stenographic | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 19,376 | 19,586 |
Transportation, Equipment & Supplies (Except Motor Vehicles) | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,468 | 0 |
Transportation, Equipment & Supplies (Except Motor Vehicles) | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Transportation, Equipment & Supplies (Except Motor Vehicles) | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 100,791 | 102,182 |
Offices and Clinics of Other Health Practitioners | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 10,110 | 10,098 |
Offices and Clinics of Other Health Practitioners | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Offices and Clinics of Other Health Practitioners | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 12,468 | 0 |
Miscellaneous Plastic Products | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 9,750 | 10,000 |
Miscellaneous Plastic Products | Fixed Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 0 | 0 |
Miscellaneous Plastic Products | Floating Rate | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 57,508 | $ 61,210 |
LOANS - Aggregate Positions in
LOANS - Aggregate Positions in Capital Structure of Borrowers (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 2,150,263 | $ 2,144,850 |
First lien loans | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | 1,496,887 | 1,396,140 |
Second lien loans | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Corporate debt | $ 653,376 | $ 748,710 |
LOANS - Corporate Debt Held for
LOANS - Corporate Debt Held for Investment (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Principal payments | $ (134,622) | |
Sales | (1,294,348) | |
Corporate Loans | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning balance | 2,144,850 | $ 1,887,182 |
Originations & advances | 387,082 | 888,036 |
Principal payments | (54,465) | (368,927) |
Amortization & accretion of (premium) discounts | 2,320 | 8,896 |
Loan restructuring | (16,732) | |
Sales | (271,007) | (262,974) |
Net (increase) decrease in allowance | (7,363) | |
Beginning allowance | (7,363) | |
Current period allowance | (24,026) | |
Write offs | 11,894 | |
Ending allowance | (49,148) | (7,363) |
Ending balance | 2,150,263 | 2,144,850 |
Corporate Loans | First lien loans | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning balance | 1,396,140 | 1,346,356 |
Originations & advances | 387,082 | 542,463 |
Principal payments | (28,567) | (228,302) |
Amortization & accretion of (premium) discounts | 1,430 | 5,960 |
Loan restructuring | (19,550) | |
Sales | (223,625) | (262,974) |
Net (increase) decrease in allowance | (7,363) | |
Beginning allowance | (7,363) | |
Current period allowance | (17,130) | |
Write offs | 11,894 | |
Ending allowance | (23,386) | (7,363) |
Ending balance | 1,496,887 | 1,396,140 |
Corporate Loans | Second lien loans | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning balance | 748,710 | 540,826 |
Originations & advances | 0 | 345,573 |
Principal payments | (25,898) | (140,625) |
Amortization & accretion of (premium) discounts | 890 | 2,936 |
Loan restructuring | 2,818 | |
Sales | (47,382) | 0 |
Net (increase) decrease in allowance | 0 | |
Beginning allowance | 0 | |
Current period allowance | (6,896) | |
Write offs | 0 | |
Ending allowance | (25,762) | 0 |
Ending balance | 653,376 | 748,710 |
Impact of adopting CECL | Corporate Loans | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning allowance | (29,653) | |
Ending allowance | (29,653) | |
Impact of adopting CECL | Corporate Loans | First lien loans | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning allowance | (10,787) | |
Ending allowance | (10,787) | |
Impact of adopting CECL | Corporate Loans | Second lien loans | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning allowance | (18,866) | |
Ending allowance | (18,866) | |
CECL provision, adjusted balance | Corporate Loans | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning balance | 2,152,213 | |
Ending balance | 2,152,213 | |
CECL provision, adjusted balance | Corporate Loans | First lien loans | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning balance | 1,403,503 | |
Ending balance | 1,403,503 | |
CECL provision, adjusted balance | Corporate Loans | Second lien loans | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Beginning balance | $ 748,710 | |
Ending balance | $ 748,710 |
LOANS - Corporate Debt Amortize
LOANS - Corporate Debt Amortized Costs Basis by Risk Rating and Vintage Year (Details) - Corporate Loans $ in Thousands | Mar. 31, 2020USD ($) |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | $ 2,150,699 |
2020 | 255,908 |
2019 | 634,178 |
2018 | 783,148 |
2017 | 330,223 |
2016 | 74,876 |
2015 | 48,235 |
Revolvers | 24,131 |
Accrued interest receivable | 9,900 |
Performing | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 826,447 |
2020 | 22,285 |
2019 | 319,686 |
2018 | 286,358 |
2017 | 158,446 |
2016 | 29,957 |
2015 | 0 |
Revolvers | 9,715 |
Closely Monitored | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 966,454 |
2020 | 233,623 |
2019 | 257,888 |
2018 | 325,885 |
2017 | 100,588 |
2016 | 21,932 |
2015 | 14,198 |
Revolvers | 12,340 |
Special Mention | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 138,129 |
2020 | 0 |
2019 | 53,671 |
2018 | 17,441 |
2017 | 30,904 |
2016 | 0 |
2015 | 34,037 |
Revolvers | 2,076 |
Substandard | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 215,372 |
2020 | 0 |
2019 | 2,933 |
2018 | 149,167 |
2017 | 40,285 |
2016 | 22,987 |
2015 | 0 |
Revolvers | 0 |
Doubtful | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 4,297 |
2020 | 0 |
2019 | 0 |
2018 | 4,297 |
2017 | 0 |
2016 | 0 |
2015 | 0 |
Revolvers | 0 |
Loss | |
Debt Securities, Held-to-maturity, Credit Quality Indicator [Line Items] | |
Total | 0 |
2020 | 0 |
2019 | 0 |
2018 | 0 |
2017 | 0 |
2016 | 0 |
2015 | 0 |
Revolvers | $ 0 |
MORTGAGE SERVICING RIGHTS - Pre
MORTGAGE SERVICING RIGHTS - Presentation of Activity Related to MSR (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | ||
Fair value, beginning of period | $ 378,078 | $ 557,813 |
Changes in valuation inputs or assumptions | (79,224) | (43,089) |
Other changes, including realization of expected cash flows | (18,296) | (13,979) |
Fair value, end of period | $ 280,558 | $ 500,745 |
MORTGAGE SERVICING RIGHTS - Add
MORTGAGE SERVICING RIGHTS - Additional Information (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Bank Servicing | ||
Servicing Assets at Fair Value [Line Items] | ||
Service income fee | $ 22.8 | $ 27.8 |
VARIABLE INTEREST ENTITIES - Ad
VARIABLE INTEREST ENTITIES - Additional Information (Details) - USD ($) | 1 Months Ended | 3 Months Ended | ||||||||||||||||
Nov. 30, 2019 | Aug. 31, 2017 | Mar. 31, 2020 | Mar. 31, 2019 | Feb. 29, 2020 | Dec. 31, 2019 | Oct. 31, 2019 | Jul. 31, 2019 | Jun. 30, 2019 | Apr. 30, 2019 | Feb. 28, 2019 | Jan. 31, 2019 | Dec. 31, 2018 | Oct. 31, 2018 | Aug. 31, 2018 | Mar. 31, 2018 | |||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Securitized debt of consolidated VIEs | $ 6,364,949,000 | $ 5,622,801,000 | [1] | |||||||||||||||
Estimated fair value | [2] | 79,357,596,000 | 114,833,580,000 | [1] | ||||||||||||||
Costs incurred in connection with securitization | 77,629,000 | $ 83,737,000 | ||||||||||||||||
Principal receivable | [3] | 4,068,189,000 | 4,462,350,000 | [1] | ||||||||||||||
Other secured financings | 1,805,428,000 | 4,455,700,000 | [1] | |||||||||||||||
Corporate Loans | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Loans | 2,150,263,000 | 2,144,850,000 | $ 1,887,182,000 | |||||||||||||||
Pingora | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Variable interest entity, ownership percentage | 100.00% | |||||||||||||||||
Consolidated VIEs | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Exposure to obligations of VIEs | 2,900,000,000 | |||||||||||||||||
Consolidated VIEs | Commercial Trusts | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Mortgage loans, unpaid principal balance | 2,300,000,000 | 2,300,000,000 | ||||||||||||||||
Gain (Loss) attributable to instrument- specific credit risk | 0 | 0 | ||||||||||||||||
Loans | 0 | 0 | ||||||||||||||||
Other secured financings | 0 | 0 | ||||||||||||||||
Consolidated VIEs | Residential Trusts | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Loans | 0 | 0 | ||||||||||||||||
Contractual principal amount of debt held by third parties | 50,100,000 | 57,300,000 | ||||||||||||||||
Other secured financings | 0 | 0 | ||||||||||||||||
Consolidated VIEs | Borrower | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Credit facility, maximum borrowing capacity | 625,000,000 | |||||||||||||||||
Other secured financings | 421,500,000 | |||||||||||||||||
Consolidated VIEs | Consolidation, Eliminations | Borrower | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Principal receivable | 421,500,000 | |||||||||||||||||
Consolidated VIEs | Corporate Loans | Borrower | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Transferred loans pledged as collateral for credit facility | 732,500,000 | |||||||||||||||||
Consolidated VIEs | NLY 2019-FL2 | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Mortgage loans, unpaid principal balance | 857,300,000 | |||||||||||||||||
Loans | $ 857,300,000 | |||||||||||||||||
Securitized debt of consolidated VIEs | 552,200,000 | |||||||||||||||||
Costs incurred in connection with securitization | 8,300,000 | |||||||||||||||||
Contractual principal amount of debt held by third parties | 633,900,000 | |||||||||||||||||
Consolidated VIEs | NLY 2019-FL2 | Consolidation, Eliminations | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Estimated fair value | 167,600,000 | |||||||||||||||||
Consolidated VIEs | OBX Trust | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Loans | 467,511,000 | $ 374,609,000 | $ 465,492,000 | $ 463,405,000 | $ 383,760,000 | $ 388,156,000 | $ 393,961,000 | $ 384,027,000 | $ 383,451,000 | $ 327,162,000 | ||||||||
Securitized debt of consolidated VIEs | 2,500,000,000 | |||||||||||||||||
Costs incurred in connection with securitization | 3,700,000 | $ 1,700,000 | ||||||||||||||||
Contractual principal amount of debt held by third parties | 2,500,000,000 | |||||||||||||||||
Consolidated VIEs | OBX Trust | Consolidation, Eliminations | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Estimated fair value | 513,000,000 | |||||||||||||||||
Consolidated VIEs | Financing Receivables, Equal to Greater than 90 Days Past Due | Commercial Trusts | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Loans 90 days or more past due or on nonaccrual status | 0 | 0 | ||||||||||||||||
Consolidated VIEs | July 2017 Credit Facility | Borrower | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Credit facility, maximum borrowing capacity | 320,000,000 | |||||||||||||||||
Consolidated VIEs | July 2017 Credit Facility | Corporate Loans | Borrower | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Transferred loans pledged as collateral for credit facility | 490,500,000 | |||||||||||||||||
Other secured financings | 289,500,000 | |||||||||||||||||
Consolidated VIEs | January 2019 Credit Facility | Borrower | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Credit facility, maximum borrowing capacity | $ 300,000,000 | |||||||||||||||||
Other secured financings | $ 326,700,000 | |||||||||||||||||
Multifamily | Consolidated VIEs | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Cut-off Date Principal Balance | $ 1,000,000,000 | 500,000,000 | ||||||||||||||||
Costs incurred | 1,100,000 | |||||||||||||||||
Retained Interest | Multifamily | Consolidated VIEs | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Retained interest notional balance | 1,000,000,000 | 500,000,000 | ||||||||||||||||
Senior Loans | Multifamily | Consolidated VIEs | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Mortgage loans, unpaid principal balance | $ 28,500,000 | |||||||||||||||||
Fund Entities | VIE, Not Primary Beneficiary | Corporate Loans | ||||||||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||||||||
Loans | $ 109,800,000 | |||||||||||||||||
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . | |||||||||||||||||
[2] | Excludes $127.7 million and $102.5 million at March 31, 2020 and December 31, 2019 , respectively, of Agency mortgage-backed securities, $412.0 million and $468.0 million at March 31, 2020 and December 31, 2019 , respectively, of non-Agency mortgage-backed securities and $367.6 million and $500.3 million at March 31, 2020 and December 31, 2019 | |||||||||||||||||
[3] | Includes $57.8 million and $66.7 million of residential mortgage loans held for sale at March 31, 2020 and December 31, 2019 , respectively. |
VARIABLE INTEREST ENTITIES - Sc
VARIABLE INTEREST ENTITIES - Schedule of Securitization Trusts (Details) - Consolidated VIEs - Commercial Trusts - USD ($) $ in Thousands | Dec. 31, 2019 | Oct. 31, 2019 | Aug. 31, 2019 | Jun. 30, 2018 | Apr. 30, 2015 |
Multifamily | |||||
Variable Interest Entity [Line Items] | |||||
Cut-off Date Principal Balance | $ 394,000 | $ 415,000 | $ 271,700 | $ 1,192,607 | |
Face Value of Company’s Variable Interest at Settlement Date | $ 110,350 | 75,359 | $ 20,270 | $ 89,446 | |
Hotel | |||||
Variable Interest Entity [Line Items] | |||||
Cut-off Date Principal Balance | $ 982,000 | ||||
Face Value of Company’s Variable Interest at Settlement Date | $ 93,500 | ||||
Office Building | |||||
Variable Interest Entity [Line Items] | |||||
Cut-off Date Principal Balance | 60,000 | ||||
Face Value of Company’s Variable Interest at Settlement Date | $ 60,000 |
VARIABLE INTEREST ENTITIES - _2
VARIABLE INTEREST ENTITIES - Schedule of the Fair Value of OBX Trusts Closed (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Feb. 29, 2020 | Oct. 31, 2019 | Jul. 31, 2019 | Jun. 30, 2019 | Apr. 30, 2019 | Jan. 31, 2019 | Oct. 31, 2018 | Aug. 31, 2018 | Mar. 31, 2018 |
OBX Trust | Consolidated VIEs | ||||||||||
Variable Interest Entity [Line Items] | ||||||||||
Loans | $ 467,511 | $ 374,609 | $ 465,492 | $ 463,405 | $ 383,760 | $ 388,156 | $ 393,961 | $ 384,027 | $ 383,451 | $ 327,162 |
VARIABLE INTEREST ENTITIES - St
VARIABLE INTEREST ENTITIES - Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | ||
Assets | ||||
Cash and cash equivalents | [1] | $ 2,823,521 | $ 1,850,729 | [2] |
Assets transferred or pledged to securitization vehicles | 7,671,662 | 7,002,460 | [2] | |
Mortgage servicing rights | 280,558 | 378,078 | [2] | |
Principal and interest receivable | 335,170 | 449,906 | [2] | |
Other assets | 284,918 | 381,220 | [2] | |
Total assets | 96,917,274 | 130,295,081 | [2] | |
Liabilities | ||||
Other secured financing | 1,805,428 | 4,455,700 | [2] | |
Interest payable | 261,304 | 476,335 | [2] | |
Other liabilities | 100,772 | 93,388 | [2] | |
Total liabilities | 84,209,744 | 114,498,737 | [2] | |
Consolidated VIEs | ||||
Assets | ||||
Cash and cash equivalents | 74,100 | 67,500 | ||
Consolidated VIEs | Commercial Trusts | ||||
Assets | ||||
Cash and cash equivalents | 0 | 0 | ||
Loans | 0 | 0 | ||
Assets transferred or pledged to securitization vehicles | 1,927,576 | 2,345,120 | ||
Mortgage servicing rights | 0 | 0 | ||
Principal and interest receivable | 6,132 | 7,085 | ||
Other assets | 0 | 0 | ||
Total assets | 1,933,708 | 2,352,205 | ||
Liabilities | ||||
Debt issued by securitization vehicles (non-recourse) | 1,637,505 | 1,967,523 | ||
Other secured financing | 0 | 0 | ||
Payable for unsettled trades | 0 | 0 | ||
Interest payable | 2,202 | 3,008 | ||
Other liabilities | 0 | 0 | ||
Total liabilities | 1,639,707 | 1,970,531 | ||
Consolidated VIEs | Residential Trusts | ||||
Assets | ||||
Cash and cash equivalents | 0 | 0 | ||
Loans | 0 | 0 | ||
Assets transferred or pledged to securitization vehicles | 68,413 | 75,924 | ||
Mortgage servicing rights | 0 | 0 | ||
Principal and interest receivable | 365 | 408 | ||
Other assets | 0 | 0 | ||
Total assets | 68,778 | 76,332 | ||
Liabilities | ||||
Debt issued by securitization vehicles (non-recourse) | 49,825 | 57,905 | ||
Other secured financing | 0 | 0 | ||
Payable for unsettled trades | 0 | 0 | ||
Interest payable | 121 | 137 | ||
Other liabilities | 89 | 78 | ||
Total liabilities | 50,035 | 58,120 | ||
Consolidated VIEs | MSR Silo | ||||
Assets | ||||
Cash and cash equivalents | 74,117 | 67,455 | ||
Loans | 57,777 | 66,722 | ||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||
Mortgage servicing rights | 280,558 | 378,078 | ||
Principal and interest receivable | 0 | 0 | ||
Other assets | 29,837 | 27,021 | ||
Total assets | 442,289 | 539,276 | ||
Liabilities | ||||
Debt issued by securitization vehicles (non-recourse) | 0 | 0 | ||
Other secured financing | 36,751 | 38,981 | ||
Payable for unsettled trades | 15,123 | 18,364 | ||
Interest payable | 0 | 0 | ||
Other liabilities | 2,226 | 2,393 | ||
Total liabilities | $ 54,100 | $ 59,738 | ||
[1] | Includes cash of consolidated Variable Interest Entities (“VIEs”) of $74.1 million and $67.5 million at March 31, 2020 and December 31, 2019 , respectively. | |||
[2] | Derived from the audited consolidated financial statements at December 31, 2019 . |
VARIABLE INTEREST ENTITIES - Ge
VARIABLE INTEREST ENTITIES - Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Unpaid Principal Balances (Details) - Consolidated VIEs $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | $ 3,286,245 |
Residential Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | 68,043 |
California | |
Concentration Risk [Line Items] | |
Principal Balance | 1,270,649 |
California | Residential Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | 30,536 |
Texas | Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | 479,164 |
Texas | Residential Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | 9,618 |
New York | Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | 370,697 |
Illinois | Residential Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | 7,009 |
Florida | Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | 196,495 |
Washington | Residential Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | 3,847 |
Other | Commercial Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | 969,240 |
Other | Residential Trusts | |
Concentration Risk [Line Items] | |
Principal Balance | $ 17,033 |
Securitized Loans | Geographic Concentration Risk | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of Balance | 100.00% |
Securitized Loans | Geographic Concentration Risk | Residential Trusts | |
Concentration Risk [Line Items] | |
% of Balance | 100.00% |
Securitized Loans | Geographic Concentration Risk | California | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of Balance | 38.70% |
Securitized Loans | Geographic Concentration Risk | California | Residential Trusts | |
Concentration Risk [Line Items] | |
% of Balance | 44.90% |
Securitized Loans | Geographic Concentration Risk | Texas | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of Balance | 14.60% |
Securitized Loans | Geographic Concentration Risk | Texas | Residential Trusts | |
Concentration Risk [Line Items] | |
% of Balance | 14.10% |
Securitized Loans | Geographic Concentration Risk | New York | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of Balance | 11.30% |
Securitized Loans | Geographic Concentration Risk | Illinois | Residential Trusts | |
Concentration Risk [Line Items] | |
% of Balance | 10.30% |
Securitized Loans | Geographic Concentration Risk | Florida | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of Balance | 6.00% |
Securitized Loans | Geographic Concentration Risk | Washington | Residential Trusts | |
Concentration Risk [Line Items] | |
% of Balance | 5.70% |
Securitized Loans | Geographic Concentration Risk | Other | Commercial Trusts | |
Concentration Risk [Line Items] | |
% of Balance | 29.40% |
Securitized Loans | Geographic Concentration Risk | Other | Residential Trusts | |
Concentration Risk [Line Items] | |
% of Balance | 25.00% |
REAL ESTATE - Summary of Estima
REAL ESTATE - Summary of Estimated Useful Lives of Assets (Details) | 3 Months Ended |
Mar. 31, 2020 | |
Building and building improvements | Minimum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 1 year |
Building and building improvements | Maximum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 44 years |
Furniture, fixtures and equipment | Minimum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 1 year |
Furniture, fixtures and equipment | Maximum | |
Property, Plant and Equipment [Line Items] | |
Estimated useful lives of assets | 4 years |
REAL ESTATE - Additional Inform
REAL ESTATE - Additional Information (Details) | 3 Months Ended | ||
Mar. 31, 2020USD ($)property | Mar. 31, 2019USD ($)property | Dec. 31, 2019USD ($) | |
Real Estate Properties [Line Items] | |||
Real estate acquired in settlement of residential mortgage loans | $ 0 | $ 0 | |
Foreclosure agreement, amount | $ 35,800,000 | ||
Number of commercial real estate acquisitions | property | 0 | ||
Weighted average amortization period | 6 years 3 months 18 days | ||
General and Administrative Expense | |||
Real Estate Properties [Line Items] | |||
Depreciation expense | $ 5,200,000 | $ 5,800,000 | |
Mountain Merger Sub Corporation | |||
Real Estate Properties [Line Items] | |||
Number of real estate properties sold | property | 0 | 1 | |
Proceeds from sales of real estate | $ 6,700,000 | ||
Recognized gain on sale of real estate | $ 2,700,000 |
REAL ESTATE - Total Commercial
REAL ESTATE - Total Commercial Real Estate Held for Investments (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Real estate held for investment, at amortized cost | |||
Subtotal | $ 740,691 | $ 704,354 | |
Less: accumulated depreciation | (92,772) | (87,532) | |
Total real estate held for investment, at amortized cost, net | 647,919 | 616,822 | |
Equity in unconsolidated joint ventures | 103,819 | 108,816 | |
Total real estate, net | 751,738 | 725,638 | [1] |
Land | |||
Real estate held for investment, at amortized cost | |||
Subtotal | 134,206 | 121,720 | |
Buildings and improvements | |||
Real estate held for investment, at amortized cost | |||
Subtotal | 595,149 | 571,396 | |
Furniture, fixtures and equipment | |||
Real estate held for investment, at amortized cost | |||
Subtotal | $ 11,336 | $ 11,238 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . |
REAL ESTATE - Minimum Future Re
REAL ESTATE - Minimum Future Rentals to be Received on Noncancelable Operating Leases (Details) $ in Thousands | Mar. 31, 2020USD ($) |
Real Estate [Abstract] | |
2020 (remaining) | $ 36,967 |
2021 | 47,136 |
2022 | 43,303 |
2023 | 40,605 |
2024 | 36,683 |
2025 | 182,098 |
Total | $ 386,792 |
DERIVATIVE INSTRUMENTS - Additi
DERIVATIVE INSTRUMENTS - Additional Information (Details) - USD ($) $ in Billions | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Aggregate fair value of derivative instruments in a net liability position | $ 1.1 | |
Interest rate swaps, at fair value | ||
Derivative [Line Items] | ||
Derivative Instruments, Variation Margin on Collateral | $ 2.9 | $ 0.5 |
DERIVATIVE INSTRUMENTS - Summar
DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Assets | |||
Interest rate swaps | $ 0 | $ 1,199 | |
Derivative assets | 238,776 | 113,556 | [1] |
Liabilities | |||
Interest rate swaps | 1,244,309 | 706,862 | |
Derivative liabilities | 1,331,188 | 803,866 | [1] |
Futures contracts | |||
Assets | |||
Other derivative assets | 0 | 77,889 | |
Derivative assets | 77,889 | ||
Liabilities | |||
Other derivative liabilities | 0 | 84,781 | |
Derivative liabilities | 84,781 | ||
Purchase commitments | |||
Assets | |||
Other derivative assets | 1 | 2,050 | |
Derivative assets | 1 | 2,050 | |
Liabilities | |||
Other derivative liabilities | 9,666 | 907 | |
Derivative liabilities | 9,666 | 907 | |
Interest rate swaptions | |||
Assets | |||
Other derivative assets | 58,468 | 11,580 | |
Derivative assets | 58,468 | 11,580 | |
TBA derivatives | |||
Assets | |||
Other derivative assets | 180,307 | 15,181 | |
Derivative assets | 180,307 | 15,181 | |
Liabilities | |||
Other derivative liabilities | 15,747 | 11,316 | |
Derivative liabilities | 15,747 | 11,316 | |
Credit derivatives | |||
Assets | |||
Other derivative assets | 0 | 5,657 | |
Derivative assets | 5,657 | ||
Liabilities | |||
Other derivative liabilities | 61,466 | 0 | |
Derivative liabilities | 61,466 | ||
Notional Amount | 0 | 10,000 | |
Credit derivatives | Maximum | |||
Liabilities | |||
Notional Amount | $ 525,000 | $ 345,000 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . |
DERIVATIVE INSTRUMENTS - Summ_2
DERIVATIVE INSTRUMENTS - Summary of Characteristics of Interest Rate Swaps (Details) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Interest rate swaps, at fair value | ||
Derivative [Line Items] | ||
Current Notional | $ 12,968,300,000 | $ 74,146,350,000 |
Weighted Average Pay Rate | 1.63% | 1.84% |
Weighted Average Receive Rate | 1.16% | 1.89% |
Weighted Average Underlying Years to Maturity | 9 years 10 days | 4 years 2 months 23 days |
Notional Amount, Percentage | 0.31 | 0.75 |
Interest rate swaps, at fair value | 0 - 3 years | ||
Derivative [Line Items] | ||
Current Notional | $ 1,459,400,000 | $ 38,942,400,000 |
Weighted Average Pay Rate | 1.41% | 1.60% |
Weighted Average Receive Rate | 1.03% | 1.84% |
Weighted Average Underlying Years to Maturity | 2 years 11 months 23 days | 1 year 3 months 14 days |
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater) | 0 years | 0 years |
Derivative Instruments maximum maturity period | 3 years | 3 years |
Interest rate swaps, at fair value | 3 - 6 years | ||
Derivative [Line Items] | ||
Current Notional | $ 1,310,400,000 | $ 16,097,450,000 |
Weighted Average Pay Rate | 1.47% | 1.77% |
Weighted Average Receive Rate | 0.93% | 1.87% |
Weighted Average Underlying Years to Maturity | 2 years 11 months 19 days | 4 years 3 months 18 days |
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater) | 3 years | 3 years |
Derivative Instruments maximum maturity period | 6 years | 6 years |
Interest rate swaps, at fair value | 6 - 10 years | ||
Derivative [Line Items] | ||
Current Notional | $ 7,949,500,000 | $ 16,176,500,000 |
Weighted Average Pay Rate | 1.91% | 2.20% |
Weighted Average Receive Rate | 1.56% | 2.02% |
Weighted Average Underlying Years to Maturity | 8 years 8 months 23 days | 9 years |
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater) | 6 years | 6 years |
Derivative Instruments maximum maturity period | 10 years | 10 years |
Interest rate swaps, at fair value | Greater than 10 years | ||
Derivative [Line Items] | ||
Current Notional | $ 2,249,000,000 | $ 2,930,000,000 |
Weighted Average Pay Rate | 3.42% | 3.76% |
Weighted Average Receive Rate | 1.21% | 1.86% |
Weighted Average Underlying Years to Maturity | 17 years 6 months 14 days | 17 years 10 months 17 days |
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater) | 10 years | 10 years |
Overnight index swap | ||
Derivative [Line Items] | ||
Notional Amount, Percentage | 0.64 | 0.25 |
Forward starting pay fixed swaps | ||
Derivative [Line Items] | ||
Current Notional | $ 0 | $ 0 |
DERIVATIVE INSTRUMENTS - Summ_3
DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Long pay | ||
Derivative [Line Items] | ||
Current Notional | $ 3,675,000 | $ 4,675,000 |
Weighted Average Underlying Fixed Rate | 2.54% | 2.53% |
Weighted Average Underlying Years to Maturity | 9 years 4 months 24 days | 9 years 2 months 19 days |
Weighted Average Months to Expiration | 2 years 4 months 28 days | 4 years 7 months 28 days |
Long receive | ||
Derivative [Line Items] | ||
Current Notional | $ 750,000 | $ 2,000,000 |
Weighted Average Underlying Fixed Rate | 1.50% | 1.49% |
Weighted Average Underlying Years to Maturity | 10 years 5 months 1 day | 10 years 3 months 14 days |
Weighted Average Months to Expiration | 4 years 10 months 17 days | 3 years 4 months 24 days |
DERIVATIVE INSTRUMENTS - Summ_4
DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Notional | ||
Purchase contracts | $ 12,581,000 | $ 6,899,000 |
Implied Cost Basis | 12,951,197 | 6,888,405 |
Implied Market Value | 13,115,757 | 6,892,270 |
Net Carrying Value | 164,560 | 3,865 |
Purchase contracts | ||
Notional | ||
Purchase contracts | 12,581,000 | 10,043,000 |
Implied Cost Basis | 12,951,197 | 10,182,891 |
Implied Market Value | 13,115,757 | 10,192,038 |
Net Carrying Value | $ 164,560 | 9,147 |
Sale contracts | ||
Notional | ||
Purchase contracts | (3,144,000) | |
Implied Cost Basis | (3,294,486) | |
Implied Market Value | (3,299,768) | |
Net Carrying Value | $ (5,282) |
DERIVATIVE INSTRUMENTS - Summ_5
DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2019USD ($) | |
U.S. Treasury futures | 2 Year | |
Derivative [Line Items] | |
Weighted Average Underlying Years to Maturity | 1 year 11 months 15 days |
Derivative Instruments, maturity period | 2 years |
U.S. Treasury futures | 2 Year | Notional - Long Positions | |
Derivative [Line Items] | |
Notional Amount | $ 0 |
U.S. Treasury futures | 2 Year | Notional - Short Positions | |
Derivative [Line Items] | |
Notional Amount | $ 180,000 |
U.S. Treasury futures | 5 Year | |
Derivative [Line Items] | |
Weighted Average Underlying Years to Maturity | 4 years 5 months 1 day |
Derivative Instruments, maturity period | 5 years |
U.S. Treasury futures | 5 Year | Notional - Long Positions | |
Derivative [Line Items] | |
Notional Amount | $ 0 |
U.S. Treasury futures | 5 Year | Notional - Short Positions | |
Derivative [Line Items] | |
Notional Amount | $ 2,953,300 |
U.S. Treasury futures | 10 Year and Greater | |
Derivative [Line Items] | |
Weighted Average Underlying Years to Maturity | 9 years 8 months 26 days |
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater) | 10 years |
U.S. Treasury futures | 10 Year and Greater | Notional - Long Positions | |
Derivative [Line Items] | |
Notional Amount | $ 2,600,000 |
U.S. Treasury futures | 10 Year and Greater | Notional - Short Positions | |
Derivative [Line Items] | |
Notional Amount | $ 5,806,400 |
Futures contracts | |
Derivative [Line Items] | |
Weighted Average Underlying Years to Maturity | 8 years 3 months 3 days |
Futures contracts | Notional - Long Positions | |
Derivative [Line Items] | |
Notional Amount | $ 2,600,000 |
Futures contracts | Notional - Short Positions | |
Derivative [Line Items] | |
Notional Amount | $ 8,939,700 |
DERIVATIVE INSTRUMENTS - Offset
DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Assets | |||
Gross Amounts | $ 238,776 | $ 113,556 | [1] |
Liabilities | |||
Gross Amounts | 1,331,188 | 803,866 | [1] |
Futures contracts, at fair value | |||
Assets | |||
Gross Amounts | 77,889 | ||
Financial Instruments | (10,902) | ||
Cash Collateral | 0 | ||
Net Amounts | 66,987 | ||
Liabilities | |||
Gross Amounts | 84,781 | ||
Financial Instruments | (10,902) | ||
Cash Collateral | (73,879) | ||
Net Amounts | 0 | ||
Purchase commitments | |||
Assets | |||
Gross Amounts | 1 | 2,050 | |
Financial Instruments | 0 | 0 | |
Cash Collateral | 0 | 0 | |
Net Amounts | 1 | 2,050 | |
Liabilities | |||
Gross Amounts | 9,666 | 907 | |
Financial Instruments | 0 | 0 | |
Cash Collateral | 0 | 0 | |
Net Amounts | 9,666 | 907 | |
Interest rate swaps, at fair value | |||
Assets | |||
Gross Amounts | 1,199 | ||
Financial Instruments | (951) | ||
Cash Collateral | 0 | ||
Net Amounts | 248 | ||
Liabilities | |||
Gross Amounts | 1,244,309 | 706,862 | |
Financial Instruments | 0 | (951) | |
Cash Collateral | (162,668) | (104,205) | |
Net Amounts | 1,081,641 | 601,706 | |
Interest rate swaptions, at fair value | |||
Assets | |||
Gross Amounts | 58,468 | 11,580 | |
Financial Instruments | 0 | 0 | |
Cash Collateral | 0 | 0 | |
Net Amounts | 58,468 | 11,580 | |
TBA derivatives, at fair value | |||
Assets | |||
Gross Amounts | 180,307 | 15,181 | |
Financial Instruments | (15,747) | (5,018) | |
Cash Collateral | 0 | 0 | |
Net Amounts | 164,560 | 10,163 | |
Liabilities | |||
Gross Amounts | 15,747 | 11,316 | |
Financial Instruments | (15,747) | (5,018) | |
Cash Collateral | 0 | 0 | |
Net Amounts | 0 | 6,298 | |
Credit derivatives | |||
Assets | |||
Gross Amounts | 5,657 | ||
Financial Instruments | 0 | ||
Cash Collateral | 0 | ||
Net Amounts | $ 5,657 | ||
Liabilities | |||
Gross Amounts | 61,466 | ||
Financial Instruments | 0 | ||
Cash Collateral | (48,845) | ||
Net Amounts | $ 12,621 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . |
DERIVATIVE INSTRUMENTS - Effect
DERIVATIVE INSTRUMENTS - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Net Interest Component of Interest Rate Swaps | $ (13,980) | $ 134,035 |
Realized Gains (Losses) on Termination of Interest Rate Swaps | (397,561) | (588,256) |
Unrealized Gains (Losses) on Interest Rate Swaps | $ (2,827,723) | $ (390,556) |
DERIVATIVE INSTRUMENTS - Effe_2
DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Derivative [Line Items] | ||
Unrealized Gains (Losses) on Interest Rate Swaps | $ (2,827,723) | $ (390,556) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 206,426 | (115,159) |
Futures | ||
Derivative [Line Items] | ||
Realized Gain (Loss) | (279,476) | (491,741) |
Unrealized Gains (Losses) on Interest Rate Swaps | 6,892 | 202,312 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (272,584) | (289,429) |
Purchase commitments | ||
Derivative [Line Items] | ||
Realized Gain (Loss) | 0 | 0 |
Unrealized Gains (Losses) on Interest Rate Swaps | (10,809) | 1,145 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (10,809) | 1,145 |
TBA derivatives | ||
Derivative [Line Items] | ||
Realized Gain (Loss) | 271,085 | 213,725 |
Unrealized Gains (Losses) on Interest Rate Swaps | 160,695 | (39,940) |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 431,780 | 173,785 |
Interest rate swaptions, at fair value | ||
Derivative [Line Items] | ||
Realized Gain (Loss) | 51,445 | (29,992) |
Unrealized Gains (Losses) on Interest Rate Swaps | 70,133 | 19,684 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 121,578 | (10,308) |
Credit derivatives | ||
Derivative [Line Items] | ||
Realized Gain (Loss) | 1,925 | 2,302 |
Unrealized Gains (Losses) on Interest Rate Swaps | (65,464) | 7,346 |
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | $ (63,539) | $ 9,648 |
FAIR VALUE MEASUREMENTS - Estim
FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | ||
Assets | ||||||
Estimated fair value | [1] | $ 79,357,596 | $ 114,833,580 | [2] | ||
Mortgage servicing rights | 280,558 | 378,078 | $ 500,745 | $ 557,813 | ||
Assets transferred or pledged to securitization vehicles | 7,671,662 | 7,002,460 | [2] | |||
Interest rate swaps | 0 | 1,199 | ||||
Liabilities | ||||||
Interest rate swaps | 1,244,309 | 706,862 | ||||
Residential mortgage loans | ||||||
Assets | ||||||
Residential mortgage loans | 4,295,271 | 4,246,161 | ||||
Fair Value, Measurements, Recurring | ||||||
Assets | ||||||
Agency mortgage-backed securities | 78,456,846 | 112,893,367 | ||||
Credit risk transfer securities | 222,871 | 531,322 | ||||
Mortgage servicing rights | 280,558 | 378,078 | ||||
Assets transferred or pledged to securitization vehicles | 6,758,371 | 6,066,082 | ||||
Interest rate swaps | 1,199 | |||||
Other derivatives | 238,776 | 112,357 | ||||
Total assets | 87,903,384 | 123,039,083 | ||||
Liabilities | ||||||
Debt issued by securitization vehicles | 6,364,949 | 5,622,801 | ||||
Interest rate swaps | 1,244,309 | 706,862 | ||||
Other derivatives | 86,879 | 97,004 | ||||
Total liabilities | 7,696,137 | 6,426,667 | ||||
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities | ||||||
Assets | ||||||
Estimated fair value | 585,954 | 1,135,868 | ||||
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities | ||||||
Assets | ||||||
Estimated fair value | 91,925 | 273,023 | ||||
Fair Value, Measurements, Recurring | Residential mortgage loans | ||||||
Assets | ||||||
Residential mortgage loans | 1,268,083 | 1,647,787 | ||||
Fair Value, Measurements, Recurring | Level 1 | ||||||
Assets | ||||||
Agency mortgage-backed securities | 0 | 0 | ||||
Credit risk transfer securities | 0 | 0 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||||
Interest rate swaps | 0 | |||||
Other derivatives | 0 | 77,889 | ||||
Total assets | 0 | 77,889 | ||||
Liabilities | ||||||
Debt issued by securitization vehicles | 0 | 0 | ||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 0 | 84,781 | ||||
Total liabilities | 0 | 84,781 | ||||
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-Backed Securities | ||||||
Assets | ||||||
Estimated fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Commercial Mortgage-Backed Securities | ||||||
Assets | ||||||
Estimated fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Residential mortgage loans | ||||||
Assets | ||||||
Residential mortgage loans | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | ||||||
Assets | ||||||
Agency mortgage-backed securities | 78,456,846 | 112,893,367 | ||||
Credit risk transfer securities | 222,871 | 531,322 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Assets transferred or pledged to securitization vehicles | 6,758,371 | 6,066,082 | ||||
Interest rate swaps | 1,199 | |||||
Other derivatives | 238,776 | 34,468 | ||||
Total assets | 87,622,826 | 122,583,116 | ||||
Liabilities | ||||||
Debt issued by securitization vehicles | 6,364,949 | 5,622,801 | ||||
Interest rate swaps | 1,244,309 | 706,862 | ||||
Other derivatives | 86,879 | 12,223 | ||||
Total liabilities | 7,696,137 | 6,341,886 | ||||
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities | ||||||
Assets | ||||||
Estimated fair value | 585,954 | 1,135,868 | ||||
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities | ||||||
Assets | ||||||
Estimated fair value | 91,925 | 273,023 | ||||
Fair Value, Measurements, Recurring | Level 2 | Residential mortgage loans | ||||||
Assets | ||||||
Residential mortgage loans | 1,268,083 | 1,647,787 | ||||
Fair Value, Measurements, Recurring | Level 3 | ||||||
Assets | ||||||
Agency mortgage-backed securities | 0 | 0 | ||||
Credit risk transfer securities | 0 | 0 | ||||
Mortgage servicing rights | 280,558 | 378,078 | ||||
Assets transferred or pledged to securitization vehicles | 0 | 0 | ||||
Interest rate swaps | 0 | |||||
Other derivatives | 0 | 0 | ||||
Total assets | 280,558 | 378,078 | ||||
Liabilities | ||||||
Debt issued by securitization vehicles | 0 | 0 | ||||
Interest rate swaps | 0 | 0 | ||||
Other derivatives | 0 | 0 | ||||
Total liabilities | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-Backed Securities | ||||||
Assets | ||||||
Estimated fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage-Backed Securities | ||||||
Assets | ||||||
Estimated fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Residential mortgage loans | ||||||
Assets | ||||||
Residential mortgage loans | $ 0 | $ 0 | ||||
[1] | Excludes $127.7 million and $102.5 million at March 31, 2020 and December 31, 2019 , respectively, of Agency mortgage-backed securities, $412.0 million and $468.0 million at March 31, 2020 and December 31, 2019 , respectively, of non-Agency mortgage-backed securities and $367.6 million and $500.3 million at March 31, 2020 and December 31, 2019 | |||||
[2] | Derived from the audited consolidated financial statements at December 31, 2019 . |
FAIR VALUE MEASUREMENTS - Infor
FAIR VALUE MEASUREMENTS - Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Detail) - Fair Value, Measurements, Recurring - Level 3 - Mortgage Servicing Rights | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020USD ($) | Dec. 31, 2019USD ($) | |
Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Unobservable input, cost to service | $ 81 | $ 81 |
Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Unobservable input, cost to service | 134 | 135 |
Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
Unobservable input, cost to service | $ 108 | $ 107 |
Discount Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.090 | 0.090 |
Discount Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.120 | 0.120 |
Discount Rate | Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.093 | 0.093 |
Prepayment Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.101 | 0.063 |
Prepayment Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.396 | 0.266 |
Prepayment Rate | Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.249 | 0.137 |
Delinquency Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0 | 0 |
Delinquency Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.040 | 0.040 |
Delinquency Rate | Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] (Deprecated 2018-01-31) | ||
MSR measurement inputs | 0.021 | 0.022 |
FAIR VALUE MEASUREMENTS - Est_2
FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Financial liabilities | |||
Other secured financing | $ 1,805,428 | $ 4,455,700 | [1] |
Carrying Value | Level 1 | |||
Financial assets | |||
Securities Loaned or Sold under Agreements to Repurchase, Fair Value Disclosure | 72,580,183 | 101,740,728 | |
Financial liabilities | |||
Other secured financing | 1,805,428 | 4,455,700 | |
Carrying Value | Level 2 | |||
Financial assets | |||
Corporate debt, held for investment | 2,150,263 | 2,144,850 | |
Securities Loaned or Sold under Agreements to Repurchase, Fair Value Disclosure | 72,580,183 | 101,740,728 | |
Financial liabilities | |||
Other secured financing | 1,805,428 | 4,455,700 | |
Carrying Value | Level 3 | |||
Financial assets | |||
Commercial real estate debt and preferred equity, held for investment | 1,563,134 | 1,606,091 | |
Corporate debt, held for investment | 2,150,263 | 2,144,850 | |
Financial liabilities | |||
Mortgage payable | 484,762 | 485,005 | |
Fair Value | Level 1 | |||
Financial assets | |||
Securities Loaned or Sold under Agreements to Repurchase, Fair Value Disclosure | 72,580,183 | 101,740,728 | |
Financial liabilities | |||
Other secured financing | 1,805,428 | 4,455,700 | |
Fair Value | Level 2 | |||
Financial assets | |||
Corporate debt, held for investment | 1,965,186 | 2,081,327 | |
Securities Loaned or Sold under Agreements to Repurchase, Fair Value Disclosure | 72,580,183 | 101,740,728 | |
Financial liabilities | |||
Other secured financing | 1,805,428 | 4,455,700 | |
Fair Value | Level 3 | |||
Financial assets | |||
Commercial real estate debt and preferred equity, held for investment | 1,589,752 | 1,619,018 | |
Corporate debt, held for investment | 1,969,399 | 2,081,327 | |
Financial liabilities | |||
Mortgage payable | $ 574,648 | $ 515,994 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . |
GOODWILL AND INTANGIBLE ASSET_2
GOODWILL AND INTANGIBLE ASSETS - Additional Information (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Goodwill and Intangible Assets Disclosure [Abstract] | ||
Goodwill | $ 71.8 | $ 71.8 |
GOODWILL AND INTANGIBLE ASSET_3
GOODWILL AND INTANGIBLE ASSETS - Summary of Indefinite and Finite-Lived Intangible Assets (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Intangible Assets [Roll Forward] | |
Intangible Assets, net beginning of period | $ 20,957 |
Intangible assets acquired | 6,683 |
Intangible assets divested | (110) |
Less: amortization expense | (1,052) |
Intangible Assets, net end of period | $ 26,478 |
SECURED FINANCING - Additional
SECURED FINANCING - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | ||
Repurchase Agreements: | |||
Netted amounts | $ 72,580,183 | $ 101,740,728 | [1] |
Repurchase agreements - weighted average effective borrowing rates | 1.91% | 1.99% | |
Repurchase agreements - weighted average remaining maturities | 48 days | 65 days | |
Repurchase agreement amount | $ 1,600,000 | ||
Remaining capacity of repurchase agreement | 1,200,000 | ||
Other secured financing long term, amount | 1,805,428 | $ 4,455,700 | [1] |
Secured financings and interest rate swaps - collateral held, estimated fair value | 80,000,000 | 112,800,000 | |
Secured financings and interest rate swaps - collateral held, accrued interest | $ 254,600 | $ 357,900 | |
Minimum | |||
Repurchase Agreements: | |||
Maturity period | 5 years | ||
Maximum | |||
Repurchase Agreements: | |||
Maturity period | 7 years | ||
Maturity Period Beyond Three Years | Period Two | Minimum | |||
Repurchase Agreements: | |||
Maturity period | 1 year | 1 year | |
Maturity Period Beyond Three Years | Period Two | Maximum | |||
Repurchase Agreements: | |||
Maturity period | 3 years | ||
FHLB De Moines | |||
Repurchase Agreements: | |||
Debt weighted average interest rate | 2.04% | 2.16% | |
Stock held in FHLB | $ 38,600 | $ 147,900 | |
FHLB De Moines | Maturity Period Beyond Three Years | Period One | |||
Repurchase Agreements: | |||
Other secured financing long term, amount | $ 900,000 | 1,400,000 | |
FHLB De Moines | Maturity Period Beyond Three Years | Period Two | |||
Repurchase Agreements: | |||
Other secured financing long term, amount | $ 2,100,000 | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . |
SECURED FINANCING - Repurchase
SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Repurchase Agreements: | |||
Netted amounts | $ 72,580,183 | $ 101,740,728 | [1] |
Weighted Average Rate | 1.23% | 2.03% | |
CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 184,416 | $ 268,738 | |
Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 870,159 | 1,024,528 | |
Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 368,589 | 303,078 | |
Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 70,827,608 | 99,591,465 | |
Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 329,411 | 552,919 | |
1 day | |||
Repurchase Agreements: | |||
Netted amounts | $ 20,238,083 | $ 0 | |
Weighted Average Rate | 0.31% | 0.00% | |
1 day | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 0 | $ 0 | |
1 day | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
1 day | Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
1 day | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 20,238,083 | 0 | |
1 day | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
2 to 29 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 20,226,628 | $ 37,382,531 | |
Weighted Average Rate | 1.49% | 2.15% | |
2 to 29 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 108,219 | $ 237,897 | |
2 to 29 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 355,896 | 698,091 | |
2 to 29 days | Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
2 to 29 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 19,628,403 | 36,030,104 | |
2 to 29 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 134,110 | 416,439 | |
30 to 59 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 12,055,306 | $ 15,300,157 | |
Weighted Average Rate | 1.58% | 2.00% | |
30 to 59 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 0 | $ 0 | |
30 to 59 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 71,040 | 115,805 | |
30 to 59 days | Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
30 to 59 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 11,984,266 | 15,079,989 | |
30 to 59 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 104,363 | |
60 to 89 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 11,062,283 | $ 22,117,735 | |
Weighted Average Rate | 1.61% | 1.97% | |
60 to 89 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 76,197 | $ 30,841 | |
60 to 89 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 391,033 | 151,920 | |
60 to 89 days | Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
60 to 89 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 10,559,727 | 21,931,335 | |
60 to 89 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 35,326 | 3,639 | |
90 to 119 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 2,291,460 | $ 9,992,914 | |
Weighted Average Rate | 1.80% | 1.97% | |
90 to 119 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 0 | $ 0 | |
90 to 119 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
90 to 119 days | Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
90 to 119 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 2,291,460 | 9,992,914 | |
90 to 119 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 0 | 0 | |
Over 120 days | |||
Repurchase Agreements: | |||
Netted amounts | $ 6,706,423 | $ 16,947,391 | |
Weighted Average Rate | 1.74% | 1.90% | |
Over 120 days | CRTs | |||
Repurchase Agreements: | |||
Netted amounts | $ 0 | $ 0 | |
Over 120 days | Non-Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 52,190 | 58,712 | |
Over 120 days | Commercial Loans | |||
Repurchase Agreements: | |||
Netted amounts | 368,589 | 303,078 | |
Over 120 days | Agency Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | 6,125,669 | 16,557,123 | |
Over 120 days | Commercial Mortgage-Backed Securities | |||
Repurchase Agreements: | |||
Netted amounts | $ 159,975 | $ 28,478 | |
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . |
SECURED FINANCING - Summary of
SECURED FINANCING - Summary of Gross Amounts, Amounts Offset and Net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | ||
Reverse Repurchase Agreements | |||
Gross amounts | $ 1,000,000 | $ 100,000 | |
Amounts offset | (1,000,000) | (100,000) | |
Netted amounts | 0 | 0 | |
Repurchase Agreements | |||
Gross amounts | 73,580,183 | 101,840,728 | |
Amounts offset | (1,000,000) | (100,000) | |
Netted amounts | $ 72,580,183 | $ 101,740,728 | [1] |
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . |
SECURED FINANCING - Mortgage Lo
SECURED FINANCING - Mortgage Loans Payable (Details) - Commercial Mortgage Loans - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 484,762,000 | $ 485,005,000 |
Mortgage Principal | 489,820,000 | 490,631,000 |
Joint Ventures | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | 316,597,000 | 316,566,000 |
Mortgage Principal | $ 318,497,000 | $ 318,562,000 |
Joint Ventures | Minimum | ||
Debt Instrument [Line Items] | ||
Interest Rate | 4.03% | 4.03% |
Joint Ventures | Maximum | ||
Debt Instrument [Line Items] | ||
Interest Rate | 4.96% | 4.96% |
Joint Ventures | LIBOR | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 16,471,000 | $ 16,029,000 |
Mortgage Principal | $ 16,325,000 | $ 16,325,000 |
Variable interest rate | 2.15% | 2.15% |
Virginia | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 82,461,000 | $ 82,940,000 |
Mortgage Principal | $ 84,206,000 | $ 84,702,000 |
Virginia | Minimum | ||
Debt Instrument [Line Items] | ||
Interest Rate | 2.34% | 2.34% |
Virginia | Maximum | ||
Debt Instrument [Line Items] | ||
Interest Rate | 4.55% | 4.55% |
Texas | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 31,535,000 | $ 31,667,000 |
Mortgage Principal | $ 33,023,000 | $ 33,167,000 |
Interest Rate | 3.28% | 3.28% |
Utah | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 7,051,000 | $ 7,077,000 |
Mortgage Principal | $ 7,069,000 | $ 7,096,000 |
Interest Rate | 3.69% | 3.69% |
Utah | LIBOR | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 9,706,000 | $ 9,706,000 |
Mortgage Principal | $ 9,706,000 | $ 9,706,000 |
Variable interest rate | 2.75% | 3.50% |
Minnesota | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 13,193,000 | $ 13,243,000 |
Mortgage Principal | $ 13,226,000 | $ 13,276,000 |
Interest Rate | 3.69% | 3.69% |
Wisconsin | ||
Debt Instrument [Line Items] | ||
Mortgage Carrying Value | $ 7,748,000 | $ 7,777,000 |
Mortgage Principal | $ 7,768,000 | $ 7,797,000 |
Interest Rate | 3.69% | 3.69% |
SECURED FINANCING - Future Mort
SECURED FINANCING - Future Mortgage Loan Principal Payments (Details) $ in Thousands | Mar. 31, 2020USD ($) |
Debt Disclosure [Abstract] | |
2020 (remaining) | $ 2,472 |
2021 | 13,197 |
2022 | 20,034 |
2023 | 3,844 |
2024 | 3,980 |
Later years | 446,293 |
Total | $ 489,820 |
CAPITAL STOCK - Schedule of Com
CAPITAL STOCK - Schedule of Common Stock (Details) - $ / shares | Mar. 31, 2020 | Dec. 31, 2019 |
Equity [Abstract] | ||
Shares authorized (in shares) | 2,914,850,000 | 2,914,850,000 |
Shares issued (in shares) | 1,430,424,398 | 1,430,106,199 |
Shares outstanding (in shares) | 1,430,424,398 | 1,430,106,199 |
Par Value (in dollars per share) | $ 0.01 | $ 0.01 |
CAPITAL STOCK - Additional Info
CAPITAL STOCK - Additional Information (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 12 Months Ended | ||
Jan. 31, 2018 | Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Jun. 30, 2019 | |
Class of Stock [Line Items] | |||||
Options exercised under incentive plans (in shares) | 11,300,000 | ||||
Authorized amount of stock available for repurchase | $ 1,500,000,000 | ||||
Shares repurchased (in shares) | 0 | ||||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |||
Preferred stock, redemption price (in dollars per share) | $ 25 | ||||
Public Offering | |||||
Class of Stock [Line Items] | |||||
Sale of stock, shares issued (in shares) | 75,000,000 | ||||
Proceeds from sale of stock | $ 730,500,000 | ||||
Public Offering, Additional Share Purchase Option | |||||
Class of Stock [Line Items] | |||||
Sale of stock, shares issued (in shares) | 11,300,000 | ||||
Proceeds from sale of stock | $ 109,600,000 | ||||
Option to purchase additional shares, period | 30 days | ||||
At-the-market Sale Program | |||||
Class of Stock [Line Items] | |||||
Sale of stock, shares issued (in shares) | 0 | 48,000,000 | |||
Proceeds from sale of stock | $ 489,000,000 | ||||
Aggregate stock offering price | $ 1,500,000,000 |
CAPITAL STOCK - Summary of Divi
CAPITAL STOCK - Summary of Dividend Reinvestment Plan (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Equity [Abstract] | ||
Shares issued through direct purchase and dividend reinvestment program (in shares) | 0 | 87,000 |
Amount raised from direct purchase and dividend reinvestment program | $ 0 | $ 892 |
CAPITAL STOCK - Schedule of Pre
CAPITAL STOCK - Schedule of Preferred Stock (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Dec. 31, 2019 | ||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 85,150,000 | 85,150,000 | |
Shares Issued (in shares) | 81,900,000 | 81,900,000 | |
Shares Outstanding (in shares) | 81,900,000 | 81,900,000 | |
Carrying Value | $ 1,982,026 | $ 1,982,026 | [1] |
Series C | |||
Class of Stock [Line Items] | |||
Shares Outstanding (in shares) | 0 | 0 | |
Series D | |||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 18,400,000 | 18,400,000 | |
Shares Issued (in shares) | 18,400,000 | 18,400,000 | |
Shares Outstanding (in shares) | 18,400,000 | 18,400,000 | |
Carrying Value | $ 445,457 | $ 445,457 | |
Contractual Rate | 7.50% | ||
Series H | |||
Class of Stock [Line Items] | |||
Shares Outstanding (in shares) | 0 | 0 | |
Series F | |||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 28,800,000 | 28,800,000 | |
Shares Issued (in shares) | 28,800,000 | 28,800,000 | |
Shares Outstanding (in shares) | 28,800,000 | 28,800,000 | |
Carrying Value | $ 696,910 | $ 696,910 | |
Contractual Rate | 6.95% | ||
Floating annual rate | 4.993% | ||
Series G | |||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 19,550,000 | 19,550,000 | |
Shares Issued (in shares) | 17,000,000 | 17,000,000 | |
Shares Outstanding (in shares) | 17,000,000 | 17,000,000 | |
Carrying Value | $ 411,335 | $ 411,335 | |
Contractual Rate | 6.50% | ||
Floating annual rate | 4.172% | ||
Series I | |||
Class of Stock [Line Items] | |||
Shares Authorized (in shares) | 18,400,000 | 18,400,000 | |
Shares Issued (in shares) | 17,700,000 | 17,700,000 | |
Shares Outstanding (in shares) | 17,700,000 | 17,700,000 | |
Carrying Value | $ 428,324 | $ 428,324 | |
Contractual Rate | 6.75% | ||
Floating annual rate | 4.989% | ||
[1] | Derived from the audited consolidated financial statements at December 31, 2019 . |
CAPITAL STOCK - Summary of Di_2
CAPITAL STOCK - Summary of Dividend Distribution Activity (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Dividends Payable [Line Items] | ||
Dividends and dividend equivalents declared on common stock and share-based awards | $ 357,819 | $ 434,627 |
Distributions declared per common share (in dollars per share) | $ 0.25 | $ 0.30 |
Distributions paid to common stockholders after period end | $ 357,606 | $ 434,431 |
Distributions paid per common share after period end (in dollars per share) | $ 0.25 | $ 0.30 |
Series C | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 0 | $ 3,336 |
Preferred series dividends declared (in dollars per share) | $ 0 | $ 0.477 |
Series D | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 8,625 | $ 8,625 |
Preferred series dividends declared (in dollars per share) | $ 0.469 | $ 0.469 |
Series F | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 12,510 | $ 12,510 |
Preferred series dividends declared (in dollars per share) | $ 0.434 | $ 0.434 |
Series G | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 6,906 | $ 6,906 |
Preferred series dividends declared (in dollars per share) | $ 0.406 | $ 0.406 |
Series H | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 0 | $ 1,117 |
Preferred series dividends declared (in dollars per share) | $ 0 | $ 0.508 |
Series I | ||
Dividends Payable [Line Items] | ||
Preferred dividends declared | $ 7,468 | $ 0 |
Preferred series dividends declared (in dollars per share) | $ 0.422 | $ 0 |
INTEREST INCOME AND INTEREST _3
INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Interest income | ||
Residential securities | $ 410,380 | $ 709,774 |
Residential mortgage loans | 47,557 | 29,991 |
Commercial investment portfolio | 95,676 | 100,952 |
Reverse repurchase agreements | 1,413 | 25,469 |
Total interest income | 555,026 | 866,186 |
Interest expense | ||
Repurchase agreements | 434,021 | 579,514 |
Debt issued by securitization vehicles | 42,119 | 34,207 |
Other | 27,333 | 33,974 |
Total interest expense | 503,473 | 647,695 |
Net interest income | $ 51,553 | $ 218,491 |
NET INCOME (LOSS) PER COMMON _3
NET INCOME (LOSS) PER COMMON SHARE - Schedule of Net Income (Loss) per Share Reconciliation (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Earnings Per Share [Abstract] | ||
Net income (loss) | $ (3,640,189) | $ (849,251) |
Net income (loss) attributable to noncontrolling interests | 66 | (101) |
Net income (loss) attributable to Annaly | (3,640,255) | (849,150) |
Dividends on preferred stock | 35,509 | 32,494 |
Net income (loss) available (related) to common stockholders | $ (3,675,764) | $ (881,644) |
Weighted average shares of common stock outstanding-basic (in shares) | 1,430,994,319 | 1,398,614,205 |
Add: Effect of stock awards, if dilutive (in shares) | 0 | 0 |
Weighted average shares of common stock outstanding-diluted (in shares) | 1,430,994,319 | 1,398,614,205 |
Net income (loss) per share available (related) to common share | ||
Basic (in dollars per share) | $ (2.57) | $ (0.63) |
Diluted (in dollars per share) | $ (2.57) | $ (0.63) |
NET INCOME (LOSS) PER COMMON _4
NET INCOME (LOSS) PER COMMON SHARE - Additional Information (Details) - shares shares in Millions | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Earnings Per Share [Abstract] | ||
Options to purchase common stock (in shares) | 0.1 | 0.2 |
INCOME TAXES - Additional Infor
INCOME TAXES - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Income Taxes: | ||
REIT Taxable income distributed | 100.00% | |
Income tax benefit | $ (26,702) | $ 2,581 |
Taxable REIT Subsidiary | ||
Income Taxes: | ||
Income tax benefit | $ (26,700) | $ 2,600 |
RELATED PARTY TRANSACTIONS - Ad
RELATED PARTY TRANSACTIONS - Additional Information (Details) $ in Thousands | Mar. 27, 2019USD ($) | Mar. 31, 2020USD ($) | Mar. 31, 2019USD ($) | Dec. 31, 2019USD ($) |
Ratio of percentage of stockholders' equity paid up to predetermined amount | 0.0875 | |||
Ratio of percentage of stockholders' equity paid over a predetermined amount | 0.0075 | |||
Predetermined amount of stockholders equity used in calculating monthly management fee | $ 17,280,000 | |||
Compensation and management fee | $ 40,825 | $ 44,833 | ||
Ratio of independent directors or holders of a majority of the outstanding shares | 0.0066666667 | |||
Management Agreement | ||||
Compensation and management fee | $ 40,800 | $ 44,800 | ||
Reimbursement payments | 7,100 | |||
Management fee payable | $ 13,900 | $ 15,800 | ||
Renewal term | 2 years | |||
Accelerated period for agreement termination, if election to terminate is not made | 90 days | |||
Management Agreement | Minimum | ||||
Accelerated period for agreement termination, if election to terminate is made | 7 days | |||
Management Agreement | Maximum | ||||
Accelerated period for agreement termination, if election to terminate is made | 90 days |
LEASE COMMITMENTS AND CONTING_3
LEASE COMMITMENTS AND CONTINGENCIES - Narrative (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | ||
Remaining lease term, in years | 5 years | |
Option to extend, in years | 5 years | |
Lease cost | $ 800,000 | |
Material contingencies | $ 0 | $ 0 |
LEASE COMMITMENTS AND CONTING_4
LEASE COMMITMENTS AND CONTINGENCIES - Supplemental Information Regarding Leases (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Leases [Abstract] | |
Operating lease right-of-use assets | $ 15,140 |
Operating lease liabilities | $ 19,656 |
Weighted average remaining lease term | 5 years 4 months 24 days |
Weighted average discount rate | 2.90% |
Operating cash flows from operating leases | $ 928 |
LEASE COMMITMENTS AND CONTING_5
LEASE COMMITMENTS AND CONTINGENCIES - Details of Future Lease Payments (Details) $ in Thousands | Mar. 31, 2020USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
2020 (remaining) | $ 2,871 |
2021 | 3,918 |
2022 | 3,862 |
2023 | 3,862 |
2024 | 3,862 |
Later years | 2,895 |
Total lease payments | 21,270 |
Less imputed interest | 1,614 |
Present value of lease liabilities | $ 19,656 |
ARCOLA REGULATORY REQUIREMENTS
ARCOLA REGULATORY REQUIREMENTS - Additional Information (Details) - RCap $ in Millions | Mar. 31, 2020USD ($) |
Minimum net capital requirement | $ 0.3 |
Regulatory net capital | 409 |
Regulatory net capital, excess net capital | $ 408.7 |